We evaluated the ability of futures market participants’ hedging decisions to predict changes in cryptocurrency returns based on its influence on risk aversion via the risk premium channel. We document that the hedging factor has a significant effect on measures of risk aversion and financial...

We study euro-area risk-adjusted expected inflation and the inflation risk premium at different maturities, leveraging inflation swaps, inflation options and survey-based forecasts. We introduce a model that features time-varying long-term average inflation and time-varying inflation volatility...

Bitcoin Pricing Kernels (PK) are estimated using a novel data set from Deribit, one of the largest Bitcoin derivatives exchanges. The PKs improve the understanding of investor sentiment and risk premia. Bootstrap-based confidence bands are estimated in order to validate the results. Investors...

We propose a novel method to estimate risk-neutral quantiles that uses sorting to minimize an objective function given by a convex combination of call and put option prices over the range of available strike prices. We demonstrate that this new method significantly improves the accuracy of...

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 significantly predicts future stock market returns of the...

A stock's return comes from two components, i.e., risk and risk premium of the stock. Therefore, differences in stock returns are due to differences in risks or risk premia or both. The paper addresses to the question why stock returns are different across countries using Blinder-Oaxaca...

We introduce an ensemble learning method based on Gaussian Process Regression (GPR) for predicting conditional expected stock returns given stock-level and macro-economic information. Our ensemble learning approach significantly reduces the computational complexity inherent in GPR inference and...

Recessions lead to substantial, yet not immediate drop in output. The low and often negative growth during recessions is typically followed by a steady recovery with abnormally high growth. We propose a theory where a recession is preceded by the introduction of a new risk source. The expected...

I show that the average price dividend ratio of the largest 100 firms can explain future excess return as good as the broad market price dividend ratio. This finding supports the granularity hypothesis of Gabaix (2011), using valuation ratios

We proposed the new method (GARCH-M-LEV) that allows capturing the asymmetry both in the variance and return equations. The development of the model is encouraged by the stylized fact that investors demand a higher risk premium during ”bad” volatility periods rather than ”good” ones. To...