that the aggregated excess market returns can be predicted by the skewness risk premium, which is constructed to be the … difference between the physical and the risk-neutral skewness. In an empirical application of the model using more than 20 years … of data on S&P500 index options, we find that, in line with theory, risk-averse investors demand risk-compensation for …

This paper examines the relationship between the equity premium and the risk free rate at three different maturities …

the impact of forward markets and vertical integration on prices, risk premia and retail market shares. We point out that … forward hedging and vertical integration are two separate mechanisms for demand and spot price risk diversification that both … producers' and retailers' exposure to demand risk while linear forward contracts do not. Vertical integration is superior to …

large amount of aggregate tail risk is missing from the price of financial sector crash insurance during the financial …

generalized version of the uncovered interest rate parity and expectations hypothesis in favor of models with varying risk premia …

We investigate the predictive information content in foreign exchange volatility risk premia for exchange rate returns …. The volatility risk premium is the difference between realized volatility and a model-free measure of expected volatility … than those from carry trade and momentum strategies. Canonical risk factors cannot price the returns from this strategy …

by standard risk factors, and unlikely to be solely due to illiquidity. Our option-based approach also offers a novel …, model-free benchmark for credit risk analysis, which we use to run empirical experiments on credit spread biases, the impact … of asset uncertainty, and bank-related rollover risk. …