We use learning in an equilibrium model to explain the puzzling predictive power of the volatility risk premium (VRP …

We investigate the informational content of credit default swap (CDS) spreads for future volatility of (firm) assets … and equity. In the cross-section, CDS spreads are significantly more informative about future asset than equity volatility … fundamental difference in the cross-sectional predictability of asset and equity volatility. This difference lies in the leverage …

The option implied volatility spread and skew predict stock returns. These variables also reflect the expected cost of … stock returns; however, the volatility spread and skew do not once this implied fee is considered. Results are similar for a … yet in stock prices. These findings indicate that the volatility spread and skew predict returns because they proxy for …

We use realized volatilities based on after hours high frequency returns to predict next day volatility. We extend … inclusion of the preopen variance can improve the out-of-sample forecastability of the next day conditional day volatility … day conditional volatility. Our findings support the results of prior studies that traders trade for non …

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 …

with within-year seasonality. We reduce the effect of price volatility on the dividend-price ratio by applying a simple …