Stocks with high uncertainty about risk, as measured by the volatility of volatility (vol-of-vol), robustly … underperform stocks with low uncertainty about risk by 10 percent per year. This vol-of-vol effect is distinct from (combinations … that uncertainty about risk is highly relevant for stock prices …

volatility to ex post realized volatility by analyzing volatility risk premia changes due to hurricanes indicates that investors …-lasting increases in implied volatility, reflecting impact uncertainty. Using hurricane forecasts, we find both landfall uncertainty and …

volatility to ex post realized volatility by analyzing volatility risk premia changes due to hurricanes indicates that investors …-lasting increases in implied volatility, reflecting impact uncertainty. Using hurricane forecasts, we find both landfall uncertainty and …

credit spreads and corporate bond volatility are highly correlated with economic uncertainty. Our model-implied risk premiums … both risk aversion and economic uncertainty. The joint dynamics among cash flows, macroeconomic fundamentals and risk … aversion accommodate both heteroskedasticity and non-Gaussianity. The model delivers measures of risk aversion and uncertainty …

We explore the effects of tax avoidance and tax risk on stock return volatilities of U.S. firms. We find that firms … with very low and very high levels of tax avoidance and firms with high levels of tax risk have more volatile stock returns …. We observe that tax avoidance primarily affects stock return volatility through changes in investors' cash flow …

This paper studies the historical time-varying dynamics of risk for individual stocks in the U.S. market. Total risk of … an individual stock is decomposed into two components, systematic risk and idiosyncratic risk, and both components are … studied separately. We start from the historical trend in the magnitude of risk and then turn to the relation between …

We develop a measure of how information events impact investors' perceptions of risk that is broadly applicable and … simultaneously conveys information on the announcer's expected future cash flows and risk profile. We empirically implement the … forecasting power for firms' risk-factor exposures, implied costs of capital, liquidity, and future investments. We also apply our …

We introduce Implied Volatility Duration (IVD) as a new measure for the timing of uncertainty resolution, with a high …

results in a state-dependent idiosyncratic risk premium that is higher when average idiosyncratic volatility is low, and vice …In Merton (1987), idiosyncratic risk is priced in equilibrium as a consequence of incomplete diversification. We modify … his model to allow the degree of diversification to vary with average idiosyncratic volatility. This simple recognition …

panel of high-frequency returns. The asymptotic setup has the sampling frequency of returns increasing to infinity, while …