I empirically investigate whether macroeconomic uncertainty is a priced risk factor in the cross-section of equity and index option returns. The analysis employs a non-linear factor model, estimated with the Fama-MacBeth methodology, where the macroeconomic uncertainty factor is the return on a...

We propose a method to extract individual firms' risk-neutral return distributions by combining options and credit default swaps (CDS). Options provide information about the central part of the distribution, and CDS anchor the left tail. Jointly, options and CDS span the intermediate part of the...

Using Phillips-curve regressions, I study how option-implied inflation moments respond to employment dynamics after the Great Financial Crisis (GFC). In a tight labor market, changes in moments imply that the risk of a moderate inflation overshoot rises by a tenth when the unemployment gap falls...