significant negative risk premium in the Fama French 25 size-momentum portfolios. Among the Fama French 25 portfolios formed on … 5.53% per annum, controlling for exposure to the Carhart four factors as well as implied and realized volatility. These … findings suggest that EPU is an economically important risk factor for equities …

impact. Stock options on firms with establishments exposed to the landfall region exhibit increases in implied volatility of …

This paper examines how risk in trading activity can affect the volatility of asset prices. We look for this … that level. -- convergence trading ; interest rate swaps ; swap spread ; repurchase contracts ; trading risk ; volatility … normal levels. We investigate how the risks in convergence trading can affect price volatility in a form of positive feedback …

We show that option-implied jump tail risk estimated prior to earnings announcements strongly predicts post …-earnings risk-adjusted abnormal stock returns. The predictive power of implied jump tail risk is particularly strong on extreme … for model-free implied moments of variance, skewness and kurtosis. We argue that the tail risk implied from options …

uncertainty (EPU) index. The present work determines the association among policy uncertainty and volatility index, expressed in …. The results suggest that equity markets' volatility tends to be very high based on a high degree of policy uncertainty … that implied volatility index is a forward looking expectation of future stock market volatility, and it uncovers that …

Under Black-Scholes (BS) assumptions, empirical volatility and risk neutral volatility are given by a single parameter …, which captures all aspects of risk. Inverting the model to extract implied volatility from an option's market price gives … the market's forecast of future empirical volatility. But real world returns are not lognormal, volatility is stochastic …

We find that interest rate variance risk premium (IRVRP) - the difference between implied and realized variances of … horizons up to six months. IRVRP is not subsumed by other predictors such as forward rate spread or equity variance risk … long-run risk, economic uncertainty, and inflation non-neutrality. In the model IRVRP is related to short-run risk only …

This paper examines the relationship between idiosyncratic risk and stock returns in BRICS (Brazil, Russia, India … risk puzzle by dividing firms into groups based on fundamentals, such as their market risk, financial constraints, and … liquidity position. Finally, it investigates whether the idiosyncratic risk is priced in BRICS countries’ equity markets. The …