Stocks with high uncertainty about risk, as measured by the volatility of volatility (vol-of-vol), robustly … underperform stocks with low uncertainty about risk by 10 percent per year. This vol-of-vol effect is distinct from (combinations … that uncertainty about risk is highly relevant for stock prices …

We study the trading behavior of short sellers in the presence of economic policy uncertainty (EPU). Daily short … interest under high political uncertainty is from shorting stocks characterized by higher mispricing, greater policy …

This paper studies the relation between the uncertainty of volatility, measured as the volatility of volatility, and … future delta-hedged equity option returns. We find that delta-hedged option returns consistently decrease in uncertainty of … option dealers charge a higher premium for single-name options with high uncertainty of volatility, because these stock …

We show theoretically that when Bayesian investors face time-series uncertainty about assets' risk exposures … prediction. Our results have important implications for understanding how prior-induced parameter uncertainty affects asset …

firm. We examine how market uncertainty regarding firm valuation is affected by conference call tones. Using textual … negatively related to measures of firm value uncertainty from the equity options market. Overall, while value uncertainty is more … increases in value uncertainty. Tone spreads convey important signals to market participants …

We constructed a new index of global uncertainty using the first principal component of the stock market volatility for … the largest 15 economies. We evaluate the impact of global uncertainty on the global economy using the new global database … from Global Economic Indicators (DGEI), Federal Reserve Bank of Dallas. Global uncertainty shocks are less frequent than …

's experience, a comprehensive definition of risk.Risk is not measurable uncertainty nor volatility. Risk is a three part concept … exposure while of pursuing objectives in an uncertain environment; (2) risk is ontological uncertainty, the unknown unknown …