This paper proposes Spillover Persistence as a measure for financial fragility. The volatility paradox predicts that … fragility builds up when volatility is low, which challenges existing measures. Spillover Persistence tackles this challenge by … exploring a novel dimension of systemic risk: loss dynamics. I document that Spillover Persistence declines when fragility …

This study finds that stock return volatility is higher during periods of high tax policy uncertainty (TPU), even after … return volatility is more pronounced where firms are characterized by greater variability in tax outcomes. We adopt a broad … participants. We also document that the effects of TPU are concentrated in systematic volatility. Overall our results suggest that …

This paper finds that price inefficiency in individual stocks contributes to expected idiosyncratic volatility. If … idiosyncratic risk is priced, greater price inefficiency could be associated with higher expected returns. Consistent with this … price inefficiency is not explained by traditional risk factors, illiquidity, or transactions costs. It is also evidently …

The paper investigates the effect of monetary policy uncertainty on stock market volatility. Higher monetary … uncertainty leads to lower stock market volatility both in sample and out of sample. Monetary policy uncertainty matters more for … the volatility of big firms, profitable firms and past winner firms. The channel of future cash flow volatility helps …

assets toward latent systematic risk factors at two distinct points in time are the same. The test uses a panel of asset … the test. The test is applied to intraday financial data to determine whether the linear span of assets' systematic risk …

premium and Sharpe ratio, a high and clustered volatility, a rich time-variation of returns and a low and little volatile risk … returns with consumption growth and a low and constant risk aversion. The model captures a high and countercyclical equity …

variance premium, the prices of equity index options, and the prices of volatility related derivatives in a long-run risks … of variance risk while remaining consistent with consumption and asset pricing data. The variance premium is mainly … driven by the risk of a sudden increase in the overall level of uncertainty. Out-of-the-money equity index put options and …

This paper reviews the predictability evidence of the variance risk premium: (1) it predicts significant positive risk … are discussed for generating these stylized facts about the variance risk premium, which has broad implications for …

, such as the market excess return, size, book-to-market, momentum, liquidity, market volatility, and the variance risk … VIX slope risk is approximately 2.5% annually, statistically significant and cannot be explained by other common factors …