Recent studies have shown that disaster risk can generate asset return moments similar to those observed in the U … and government bill rates nor the high degree of equity return correlation found in the data. Moreover, the independence …

We examine the relation between exchange rate variability and stock return volatility for U.S. multinational firms and … corresponding to the period of increased exchange rate variability, even relative to the increase in stock return volatility for … switch from fixed to floating exchange rates, we find a significant increase in volatility of monthly stock returns …

calculated. Therefore, in this paper, we review the literature on global risk, uncertainty, and volatility measures drawing on …

is highly integrated. Introducing a new World Fear index, we find that local and global aggregate market returns are … mainly driven by global tail risk rather than local tail risk. World fear is also priced in the crosssection of stock returns …. Buying stocks with high sensitivities to World Fear while selling stocks with low sensitivities generates excess returns of …

in trading costs. We construct measures of momentum-specific volatility, both within and across asset classes, and show … how these volatility measures can be used for risk management. We find that momentum risk management significantly …We introduce a new class of momentum strategies, the risk-adjusted time series momentum (RAMOM) strategies, which are …

growths on average relative to the rest of the world (ROW). This is earned even though the US is relatively insulated against …