producers' hedging demand (speculators' risk-capacity) increase hedging costs via price-pressure on futures, reduce producers … speculators are capital constrained, and commodity producers have hedging demands for commodity futures. Increases (decreases) in …' inventory holdings, and thus spot prices. Consistent with our model, producers' default risk forecasts futures returns, spot …

We present a novel empirical benchmark for analyzing credit risk using “pseudo firms” that purchase traded assets … financed with equity and zero-coupon bonds. By no-arbitrage, pseudo bonds are equivalent to Treasuries minus put options on … corporate frictions do not seem to explain excessive observed credit spreads, but, instead, a risk premium for tail and …

index, can be hard to measure with accuracy due to the lack of precise prices for options with strikes in the tails of the … facilitate empirical analysis of both volatility forecasting and volatility risk pricing across distinct future states of the …

We study the pricing of uncertainty shocks using a wide-ranging set of options that reveal premia for macroeconomic … risks. Portfolios hedging macro uncertainty have historically earned zero or even significantly positive returns, while … role for "good uncertainty". Options for nonfinancials are particularly important for spanning macro risks and good …

We model the demand-pressure effect on prices when options cannot be perfectly hedged. The model shows that demand … options, especially out-of-money puts, which helps explain their apparent expensiveness and the smirk. Second, demand patterns … help explain the prices of single-stock options …

government risk facing investors in medical innovation. This risk slows down medical innovation because investors must be …&D investors to better share the pipeline risk associated with FDA approval with broader capital markets. Using historical FDA … from offering them. Using various unique data sources, we find that FDA approval risk has a low correlation across drug …

options. These two measures capture the ex-ante risk assessed by investors. We find that both components of risk vary … equilibrium model with a representative investor, we translate the filtered measures of ex-ante risk into an ex-ante risk premium … corresponds to the jump risk varies between 0 and 12 percent …

This paper examines the relationship between spot and futures prices for a broad range of commodities, including energy …, precious and base metals, and agricultural commodities. In particular, we examine whether futures prices are (1) an unbiased … and/or (2) accurate predictor of subsequent spot prices. While energy futures prices are generally unbiased predictors of …

We document a new stylized fact regarding the term-structure of futures volatility. We show thatthe relation between … the volatility of futures prices and the slope of the term structure of prices isnon-monotone and has a %u201CV-shape%u201 … model inwhich futures prices are determined endogenously in a production economy in which investment isboth irreversible and …

Recently a market in options based on CPI inflation (inflation caps and floors) has emerged in the US. This paper uses … empirical pricing kernels. The options-implied densities assign considerably more mass to extreme inflation outcomes (either …