focused on portfolio allocation and asset pricing and scholars interested in return forecasting, capital budgeting and risk …

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 …

Stocks with increases in idiosyncratic risk tend to earn low subsequent returns for a few months. However, high … idiosyncratic risk stocks eventually earn persistently high returns. These results are consistent with positively priced … idiosyncratic risk and temporary underreaction to idiosyncratic risk innovations. Because risk levels and innovations are correlated …

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 …

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

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 …

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 …

the existence of such sets when volatility uncertainty is modeled by a stochastic differential equation, driven by Peng …'s G-Brownian motions. -- mutually singular priors ; uncertain volatility ; sublinear expectation ; viability of sublinear …