This study finds that stock return volatility is higher during periods of high tax policy uncertainty (TPU), even after … return volatility is more pronounced where firms are characterized by greater variability in tax outcomes. We adopt a broad … participants. We also document that the effects of TPU are concentrated in systematic volatility. Overall our results suggest that …

price discovery occurs around the clock for most assets. For a given asset, intraday risk and return distributions are … fairly similar, indicating a broadly constant risk-return-relationship during the day. Although the amount of price discovery … assets do not exhibit the U-shaped intraday volatility pattern that has been documented for US equities, even if only main …

law of one price, and is present in all but risk-neutral economies. We test the cross-sectional predictions of our theory …Because levered equity is an option on the firm, variations in asset idiosyncratic risk (ivol) induces a negative … equity than for assets, and stronger for more levered firms — consistent with the theory. We test also the timeseries …

This study examines the relationship between excess return volatility and economic policy uncertainty in U.S using … return volatility and economic policy uncertainty. The casualty test indicates that economic policy uncertainty Granger …-causes excess return volatility. The vector error correction model result shows that previous values of economic policy uncertainty …

and small, IID consumption shocks, this feature results in a realistic equity premium despite low risk aversion. The model … is consistent with the main facts about stock market risk premia inferred from equity index options, remains tightly … volatility and return predictability while preserving the model's consistency with option moments …

This paper decomposes the risk premia of individual stocks into contributions from systematic and idiosyncratic risks … 80% of the equity and variance risk premia, respectively. I provide a categorization of sectors based on the risk profile …

underlying stock (asset) is subject to discontinuous market regime type of shifts in its mean or volatility whose risk can be … risk are priced in option markets. The results of the paper clearly indicate that stock market regime shifts constitute … significant sources of risk which are priced in option markets. Ignoring these sources of risks will lead to significant option …

volatility to ex post realized volatility by analyzing volatility risk premia changes due to hurricanes indicates that investors …-lasting increases in implied volatility, reflecting impact uncertainty. Using hurricane forecasts, we find both landfall uncertainty and …

volatility to ex post realized volatility by analyzing volatility risk premia changes due to hurricanes indicates that investors …-lasting increases in implied volatility, reflecting impact uncertainty. Using hurricane forecasts, we find both landfall uncertainty and …

This paper studies the historical time-varying dynamics of risk for individual stocks in the U.S. market. Total risk of … an individual stock is decomposed into two components, systematic risk and idiosyncratic risk, and both components are … studied separately. We start from the historical trend in the magnitude of risk and then turn to the relation between …