This paper investigates how political uncertainty affects firms’ climate risk premium from a global point of view. We use the presidential election events in the United States as well as that from all countries with a stock market as proxies for political uncertainty. We find that the global...

We extract variance and skew risk premiums from volatility derivatives in a model-free way and analyze their relationships along with volatility index and equity index returns. These risk premiums can be synthesized through option trading strategies. Using a time series of option prices on the...

Relying on options written on the USO, an exchange traded fund tracking the daily price changes of the WTI light sweet crude oil, we extract variance and skew risk premiums in a model-free way. We further decompose these risk premiums into downside and upside conditional components and show that...