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 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 …

period from 01/1990 to 12/2009. We find that the market variance risk is priced, its risk premium is negative and … economically very large. The variance risk premium cannot be explained by the known risk factors and option returns …

This is the first study to investigate the profitability of Barroso and Santa-Clara's (2015) risk-managing approach for … George and Hwang's (2004) 52-week high momentum strategy in an industrial portfolio setting. The findings indicate that risk …-managing adds value as the Sharpe ratio increases, and the downside risk decreases notably. Even after controlling for the spread of …

future crises, consistent with the volatility paradox. The results emphasize the dynamics of loss spillovers as an important … dimension of systemic risk and financial constraints as a key determinant of persistence. …

This paper proposes Spillover Persistence as a measure for financial fragility. The volatility paradox predicts that … fragility builds up when volatility is low, which challenges existing measures. Spillover Persistence tackles this challenge by … exploring a novel dimension of systemic risk: loss dynamics. I document that Spillover Persistence declines when fragility …

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 …

We test the existence of a time-series relationship between the aggregate idiosyncratic volatility and the market index … return at the global level by introducing various global measures of aggregate idiosyncratic volatility. We offer four … definitions of aggregate global idiosyncratic volatility (GIVOL) based on factor models and two other definitions, which are free …

. Unlike the U.S. market, though, the information contained in the KS risk factor of these international markets does not …