firms and concludes that both the size and book-to-market effects are related to default risk. For example, small firms earn … higher return than big firms only if they have higher default risk and value stocks earn higher returns than growth stocks if … their default risk is high. In this paper we use a more advanced compound option pricing model for the computation of …

forecasting accuracy significantly. Higher uncertainty is found to increase the leverage and macro effects from credit and … commodity markets on stock market realized volatility. Specifically, Economic Policy Uncertainty is shown to be one of the main …