The effect of four distinct market events on investor risk aversion is evaluated using options data on the WTI crude oil futures contract during the 2007-2011 period. The risk aversion function and the stochastic discount factor (SDF) are estimated using parametric approaches before and after...

We revisit financial market integration and study the impact of multiple risk factors and model specification on inference. Our tests exploit a method correct in finite sample that jointly assesses coefficient significance and detects identification problems. Results on four countries show that...

Ross (2015) shows that options data can reveal the market's true expectations. Adapting this approach to index options (S&P, FTSE, CAC, SMI and DAX), we separate option-implied volatility into Ross-recovered true expected volatility and a risk preference factor. We investigate whether these...

Financial stability is paramount to the proper functioning of open markets and is deeply affected by financial fragmentation. Both financial stability and financial fragmentation have unintended consequences on optimal currency areas. In this paper, we survey the original optimal currency areas...