This paper studies the relation between the uncertainty of volatility, measured as the volatility of volatility, and … future delta-hedged equity option returns. We find that delta-hedged option returns consistently decrease in uncertainty of … liquidity, volatility characteristics, and jump risks, and are not explained by common risk factors. Our findings suggest that …

This experimental paper investigates the impact of emotions on risk and return estimates of stocks. Participants rate … well-known blue-chip firms on an emotional scale and forecast risk and return of the firms' stock. We find that positive … emotions lead to a prediction of high return and low risk, while negative emotions lead to a prediction of low return and high …

This experimental study investigates the impact of affective attitudes on risk and return estimates of stocks …. Participants rate well-known blue-chip firms on an affective scale and forecast risk and return of the firms' stock. We find that … positive affective attitudes lead to a prediction of high return and low risk, while negative attitudes lead to a prediction of …

I examine which economic uncertainty measures matter for the cross-section of corporate bond returns using 40 corporate … bond portfolios for a long period from 1973 to 2020. Out of a comprehensive list of 24 economic uncertainty measures, I … find that tax policy uncertainty is the most significant both economically and statistically. I also find that measures …

We investigate how corporate stock returns respond to geopolitical risk in the case of South Korea, which has … risk from North Korea (the GPRNK index) is constructed using automated keyword searches in South Korean media. The GPRNK … index, designed to capture both upside and downside risk, corroborates that geopolitical risk sharply increases with the …

Financial volatility risk is addressed through a multiple round evolutionary quantum game equilibrium leading to … Multifractal Self-Organized Criticality (MSOC) in the financial returns and in the risk dynamics. The model is simulated and the …

the notion that T-bills and other cash proxies, such as money market funds and bank deposits, are the lowest-risk assets …

Risk premium plays an important role in stock investing. Experiments have shown that value stocks typically have a … crises. This study aimed to build the uncertainty index and control it in the regression analysis model to solve the … stocks have a higher average return than growth stocks due to the higher overall risk. Furthermore, this study combined the …