We examine the pricing of tail risk in international stock markets. We find that the tail risk of different countries … mainly driven by global tail risk rather than local tail risk. World fear is also priced in the crosssection of stock returns …

We develop a measure of how information events impact investors' perceptions of risk that is broadly applicable and … simultaneously conveys information on the announcer's expected future cash flows and risk profile. We empirically implement the … forecasting power for firms' risk-factor exposures, implied costs of capital, liquidity, and future investments. We also apply our …

This paper studies the intertemporal relation between U.S. volatility risk and international equity risk premia. We … show that a common volatility risk factor constructed from the option-implied U.S. forward variances positively and … robust to the inclusion of existing domestic and U.S. predictors and alternative U.S. volatility risk proxies. The …

) The Volatility Puzzle. We offer resolutions of those objections within the rational finance. We do not claim that those …

This paper examines the relationship between idiosyncratic risk and stock returns in BRICS (Brazil, Russia, India … risk puzzle by dividing firms into groups based on fundamentals, such as their market risk, financial constraints, and … liquidity position. Finally, it investigates whether the idiosyncratic risk is priced in BRICS countries’ equity markets. The …

uncertainty and recursive utility function. Within such a framework, the negative volatility risk premium implied from option …This paper presents predictability evidence of the implied-expected variance difference, or variance risk premium, for … financial market risk premia: (1) the variance difference measure predicts a positive risk premium across equity, bond, currency …

This paper reviews the predictability evidence of the variance risk premium: (1) it predicts significant positive risk … are discussed for generating these stylized facts about the variance risk premium, which has broad implications for …