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 …

evidence that the MAX effect overwhelms the effects of idiosyncratic risk. When we control for idiosyncratic risk, the negative … idiosyncratic risk factors explains the negative premium. Furthermore, our results are not fully explained by the exposure to the … market timing and economic state. Overall, both the extreme return and idiosyncratic risk effects appear to coexist in the …

We examine the pricing of tail risk in international stock markets. We find that the tail risk of different countries … mainly driven by global tail risk rather than local tail risk. World fear is also priced in the crosssection of stock returns …

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 …

This paper decomposes the risk premia of individual stocks into contributions from systematic and idiosyncratic risks … the variance of idiosyncratic returns. The estimation is performed on a time series of returns and option prices from 2006 … 80% of the equity and variance risk premia, respectively. I provide a categorization of sectors based on the risk profile …