demand economically and statistically significant risk premiums to hold financial assets performing poorly during market …

a production economy featuring long-run productivity and temperature volatility risk. In the model temperature …We produce novel empirical evidence on the relevance of temperature volatility shocks for the dynamics of macro … volatility and the macroeconomy varies over time. First, the sign of the causality from temperature volatility to TFP growth is …

We examine the pricing of tail risk in international stock markets. We find that the tail risk of different countries … mainly driven by global tail risk rather than local tail risk. World fear is also priced in the crosssection of stock returns …

In this paper we examine the pricing of volatility risk using SPX corridor implied volatility. We decompose model … information for forecasting future volatility risk. Overall, our empirical results provide strong evidence that SPX out …-of-the money put option prices do not contain useful information for capturing systematic volatility risk in equity returns …

This paper studies the predictability of S&P500 returns using short term risk premia as a conditioning variable. We … construct dividend prices using futures data and identify short term risk premia by projecting excess returns of dividend claims … short term risk premia captures time variation in index excess returns, albeit with the wrong sign. Counter to the intuition …

This paper investigates the role of volatility risk on stock return predictability specified on two global financial … volatility forecasting measures on future stock returns in four different periods (bear and bull markets). First we find clear … and robust empirical evidence that the implied idiosyncratic volatility is the best stock return predictor for every sub …

affect most assets - hence it qualifies as a state variable in the senseof the ICAPM and should carry a risk premium. We … Statesof America. Through Fama-Macbeth regressions we find a significant risk premium whichincreases in bad economic times when …

We examine the effect of voluntary climate risk disclosure on Credit Default Swap (CDS) premiums. We develop a … structural credit risk model, in which climate-related disclosures serve as an information source reducing uncertainty about … climate risks. The model predicts a negative relation between the informativeness of climate risk disclosure and the CDS …