This study tests whether income inequality creates greater volatility in stock prices across a broad sample of countries. Contrary to the idea that inequality creates social and political uncertainty that is reflected in higher volatility, we instead find a negative association between...

In this study, we examine how exchange rate volatility in a particular country influences both the kurtosis and skewness of stock returns. In a variety of tests that hold constant the structure of the financial market, we show that exchange rate volatility is associated with greater kurtosis,...

Despite assumptions of mean-variance efficiency that underlie most asset pricing models, investors have shown a penchant for positive skewness. This study documents that the ratio of call option volume relative to total option volume is greatest for stocks with return distributions that resemble...