We identify a global risk factor in the cross-section of implied volatility returns in currency markets. A zero-cost strategy that buys forward volatility agreements with downward sloping implied volatility curves and sells those with upward slopes - volatility carry strategy - generates...

This study considers the implications of long-run temperature risk in U.S. equity markets. Using raw temperature data, I create a proxy for low frequency temperature shocks and test for the existence of a priced temperature risk factor. I find no evidence supporting the existence of a...

Assessing and pricing country risk poses a considerable challenge to tactical asset allocation across national equity markets. This research examines the relationship between the country composite risk (together with its component risks related to: sovereign credit, currency, banking sector,...