We construct downside variance risk premiums from the crude oil and gold option data and use them as proxies for market downside uncertainty risks. We find that these downside variance risk premiums contain commodity market specifc pricing information. Further- more, the gold market's exposure...

Using exchange-traded fund (ETF) options data, we examine return predictability of variance risk premium in four commodity markets: crude oil, natural gas, gold and silver. We also analyze return predictability of upside and downside variance risk premiums using a decomposition model conditional...

We examine whether ambiguity is priced in the cross-section of expected stock returns. Using the cross-sectional dispersion in real-time forecasts of real GDP growth as a measure for ambiguity, we find that high ambiguity beta stocks earn lower future returns relative to low ambiguity beta...