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 …

We investigate the risk-return trade-off on the US and European stock markets. We investigate the non-linear risk … market portfolio. We find that the risk-return trade-off is significantly positive at the upper tail (0.9 quantile), where …, for the median (0.5 quantile), the risk-return trade-off is insignificant. These results are recovered for the US industry …

exert a large and persistent effect on the volatility of stock returns of acquirers and that this response is crucially … - engender a positive response in acquirers' volatility. Our results suggest that acquisitions affect uncertainty because they …

volatility of Borsa Istanbul 100 Index (BIST-100). Sample data cover the period from January 2008 to December 2017. The main … nonlinear volatility models (symmetric and asymmetric Generalized AutoRegressive Conditional Heteroskedasticity [GARCH …]-type models) were used to model and estimate BIST-100 volatility in response to political news. The findings of the paper …

This paper introduces a two-component volatility model based on first moments of both components to describe the … dynamics of speculative return volatility. The two components capture the volatile and the persistent part of volatility … results show that the persistent component is much more important for the volatility dynamic process than is the volatile …

-determinant for the successful IPO deal completion. We propose the Ledenyov theory on the origins of the IPO underpricing and long …

multinationals. Multinational firms are more exposed to risk: following a negative shock, they are reluctant to exit the foreign … market because they would forgo the option premium (sunk cost) that they paid to become multinationals. The theory provides a …

volatility and the market's implied volatility, is that they indicate the presence of systematic volatility risk to the firm …The prevailing view of implied volatility comovements, IVC, defined as the correlation between a firm's implied …'s investors. We take a different stance and conjecture that implied volatility comovements can also indicate expected information …

We extend Jin and Myers’ (2006) model to derive the relation between stock price crash risk and operating leverage (i … price crash risk increases, and (ii) the negative effect of crash risk on operating leverage is more pronounced when firms … that higher crash risk leads to a less sticky cost behavior. In addition, crash-risk-driven operating deleveraging …