This paper investigates the informational content implied in the risk-neutral distribution of the VIX, a leading … barometer of economic uncertainty. We extract the risk-neutral distribution from VIX option prices over the sample period from … whether the information implied in the risk-neutral distribution has predictive power. The risk-neutral distribution …

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 …

this study, we examine Capital Asset Pricing Model (CAPM) in its international ontext (ICAPM) using the monthly equity …

This paper compares the forecasting and hedging performance of 11 CAPM beta estimators across 54 international stock … competitors and goes head-to-head with the Levi and Welch (2017) double-shrinkage beta estimator in hedging market risk exposures …

combination approach. For hedging the market risk exposure in anomaly portfolios, the FI and combination estimators also perform …

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 …

persists after controlling for standard risk factors, commodity-specific risks, behavioral factors, transaction costs …, commodity sectors or seasonality effects. The sources of risk and return in this anomaly are sufficiently different to …

effect may be a result of both rational risk pricing and market inefficiency while remain silent on the cause of trading …