indicators (price pressure, change in volume), and short-term interest rates. We adopt two new alternative testing and estimation …. Both methods take explicit account of endogeneity of predictors, providing bias-reduced estimation and improved statistical …

is highly integrated. Introducing a new World Fear index, we find that local and global aggregate market returns are … mainly driven by global tail risk rather than local tail risk. World fear is also priced in the crosssection of stock returns …. Buying stocks with high sensitivities to World Fear while selling stocks with low sensitivities generates excess returns of …