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 … uncertainty outperform their counterparts with the lowest change by up to 1% per month. The anomaly is not explained by other …

risk premia may accrue unevenly during the calendar year, and the pattern may be transferred to government bond prices. We … for the predicted component, linking the sources of the phenomenon with macroeconomic risk factors …

Due to arbitrage risk asymmetries, the relationship between idiosyncratic risk and expected returns is positive … of idiosyncratic risk from the alternative models and throughout different periods …