Using a news-based gauge of geopolitical risk, we study its role for asset pricing in global emerging markets. We find … that changes in risk positively predict future stock returns. The countries with the highest increase in geopolitical …

Innovations in volatility constitute a potentially important asset pricing risk factor that can be tested using the … world to U.S. based equity variance risk. We explore implications for global risk premiums and asset return comovements … exhibit negative loadings on the variance risk factor. These exposures, combined with the average return to the variance swap …

Corporate bond returns in the major developed economies increase with risk, as measured by maturity and ratings. From a …

. We use the World Uncertainty Index (WUI) proposed by Ahir et al. (2018) and Geopolitical Risk Index (GPR) introduced by …, the highest impact is observed on corporate loans. Meanwhile, geopolitical risk dampens consumer and mortgage loans but …