We proxy uncertainty in the stock, oil and gold markets with the variance risk premia, extracted from futures and option contracts. We observe that an independent increase in the stock, oil or gold markets uncertainty coincides with negative returns in different industries. However, only the...

Previous studies find as the VIX goes up, the return and the Sharpe ratio on liquidity provision increase. We argue these two phenomena are correlated because they depend on the same fundamentals: investors' risk aversion, asset variances and asset correlations. Our theoretical model shows (1)...