In this study, we separately estimate the implied volatility from bid prices and ask prices ofdeep out-of-the-money (OTM) put options on the S&P500 index. We find that the impliedvolatility of ask prices has stronger stock return predictability than that of bid prices. Our finding is robust to...

This study investigates the cross-country impact of U.S. equity market skewness risk. We find that a large decrease in the U.S. market skewness significantly predicts high future returns on international equity markets. The predictability remains significant after controlling for a set of U.S....

We investigate the impact of China's economic policy uncertainty (EPU) on the time series variation of Chinese stock market expected returns. Using the news based measure in Baker, Bloom, and Davis (2016), we find that EPU predicts negatively future stock market return at various horizons. This...