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 …

. Key contributions are in terms of assessing (i) risk and return patterns at specific time periods of the trading session … use time dependent regressions to capture risk and returns relationships, decision trees in machine learning to compare … trading session. U-shaped patterns into both return and risk are observed, with Mondays exhibiting a more pronounced U …

This study explores whether the credit risk anomaly exhibits option-like behavior similar to the momentum anomaly …. Employing a market-timing regression model as in Daniel and Moskowitz (2013), it finds that the inverted credit risk spread … option on the market, an inverted credit risk portfolio appears to be a long call option on the market. A strategy that …

power for expected returns across a range of equity characteristic portfolios and non-equity asset classes, with risk price … estimates that are of the same sign and similar in magnitude. Positive exposure to capital share risk earns a positive risk …