This paper investigates the predictive ability of international volatility risk for the daily aggregate Chinese stock market returns. We employ the innovations in implied volatility indices of seven major international markets as our international volatility risk proxies. We find that...

We find that investor attention proxies proposed in the literature collectively have a common component that has significant power in predicting stock market risk premium, both in-sample and out-of-sample. This common component is well extracted by using partial least squares, scaled principal...

This paper proposes an aggregate index of macro tail risk and examines its role in asset pricing. We observe that a positive market risk premium compensated for the downside risk of macro fundamentals; a high tail risk predicts subsequent high returns. This predictability exists both in- and...