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 … significantly underestimate the uncertainty associated with hurricanes. Since Hurricane Sandy, this underreaction is less pronounced …

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 … significantly underestimate the uncertainty associated with hurricanes. Since Hurricane Sandy, this underreaction is less pronounced …

volatility and the market's implied volatility, is that they indicate the presence of systematic volatility risk to the firm …The prevailing view of implied volatility comovements, IVC, defined as the correlation between a firm's implied …'s investors. We take a different stance and conjecture that implied volatility comovements can also indicate expected information …

Using an event study approach at the stock level, we examine the effect of North Atlantic hurricanes on U.S. stock … returns over the period January 1990 to December 2014. We document a substantial economic impact of hurricanes on the … experience substantial positive abnormal returns during these extreme weather events, which suggests that this commodity acts as …

idiosyncratic volatility and stock returns is parabolic. The high idiosyncratic risk is associated with high (low) excess returns at …The relation between idiosyncratic risk and stock returns is currently a topic of debate in the academic literature. So … idiosyncratic risk and stock returns in the Indian stock market employing quantile regressions. Using quantile regressions, this …

We investigate the risk-return trade-off on the US and European stock markets. We investigate the non-linear risk … market portfolio. We find that the risk-return trade-off is significantly positive at the upper tail (0.9 quantile), where …, for the median (0.5 quantile), the risk-return trade-off is insignificant. These results are recovered for the US industry …

We examine the pricing of tail risk in international stock markets. We find that the tail risk of different countries … mainly driven by global tail risk rather than local tail risk. World fear is also priced in the crosssection of stock returns …