We find a positive and significant relation between forecasted idiosyncratic volatility andreturns in a large … empirical results reveal substantialcross-country variation in the magnitude of the idiosyncratic risk premiums. Consistentwith … classic asset pricing theory (e.g., Markowitz, 1959; Merton, 1987), we find thatidiosyncratic risk premiums are positively …

Stocks with increases in idiosyncratic risk tend to earn low subsequent returns for a few months. However, high … idiosyncratic risk stocks eventually earn persistently high returns. These results are consistent with positively priced … idiosyncratic risk and temporary underreaction to idiosyncratic risk innovations. Because risk levels and innovations are correlated …

represents a unique opportunity to understand the performance of risk factors during severe economic times across international … heterogeneous responses of option-implied expected market risk premia across alternative stock market indices, and between the Great …

, stock market volatility, and geopolitical risks. In particular, our aim is to determine whether these forms of uncertainty … volatility, which impact negatively in share prices, both in the short and long term. Regarding Brazil, the global uncertainty in …

calculated. Therefore, in this paper, we review the literature on global risk, uncertainty, and volatility measures drawing on …A large number of measures for monitoring risk and uncertainty surrounding macroeconomic and financial outcomes have … researchers in their analyses. However, risk and uncertainty measures differ across multiple dimensions, including the method of …

The extent to which economic policy uncertainty (EPU) amplifies exchange rate volatility has been an important research … imparts an effect on exchange rate volatility either contemporaneously, or with a one month lag. The use of monthly frequency … contributes to exchange rate volatility much more quickly than monthly data can detect. I also find that non-policy market …