-monotonically decreasing return pricing kernels and u-shaped volatility pricing kernels. Based on the non-parametric estimates, a parametric … option pricing model that matches the stylized facts in the return and volatility dimension is proposed. Moreover, it is …

increase in the idiosyncratic volatility of the underlying stock. This result can not be explained by standard risk factors. It … is distinct from existing anomalies in the stock market or volatility-related option mispricing. It is consistent with … idiosyncratic volatility stocks due to their higher arbitrage costs. Controlling for limits to arbitrage proxies reduces the …

This paper estimates the term-structure of volatility risk premia for the stock market. Realized variance term premia … are increasing in systematic risk and predict variance swap returns. Implied volatility term premia are decreasing in risk …

-sectional analysis is robust to the inclusion of uncertainty indexes, as well as macroeconomic and volatility measures …

We compare the performance of two volatility scaling methods in momentum strategies: (i) the constant volatility … scaling approach of Barroso and Santa-Clara (2015), and (ii) the dynamic volatility scaling method of Daniel and Moskowitz … strategy based on the constant volatility scaling method is the most efficient approach with an annual return of 15.3% …

We show that at-the-money implied volatility of options on futures of 5-year Treasury notes (Treasury ‘yield implied … volatility') predicts both the growth rate and volatility of gross domestic product, as well as of other macroeconomic variables …, credit spread, stock returns, stock market implied volatility, and several other variables that prior literature showed to …

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 …