After lying dormant for more than two decades, the rare disaster framework has emerged as
a leading contender to explain facts about the aggregate market, interest rates, and financial …

Our paper reexamines whether 29 variables from 26 papers published after, as well as the
original 17 variables, were useful in predicting the equity premium in-sample and out-of …

We empirically analyze the pricing of political uncertainty, guided by a theoretical model of
government policy choice. To isolate political uncertainty, we exploit its variation around …

We construct a text-based measure of uncertainty starting in 1890 using front-page articles
of the Wall Street Journal. News implied volatility (NVIX) peaks during stock market crashes …

Our article comprehensively reexamines the performance of variables that have been
suggested by the academic literature to be good predictors of the equity premium. We find …

From the field's leading authority, the most authoritative and comprehensive advanced-level
textbook on asset pricing In Financial Decisions and Markets, John Campbell, one of the …

We study the dynamic relation between market risks and risk premia using time series of
index option surfaces. We find that priced left tail risk cannot be spanned by market volatility …

In this article, we review recent developments in macroeconomics and finance on the
relationship between financial risk and the real economy. We focus on three specific …

Between 1996 and 2014, it was costless on average to hedge news about future variance at
horizons ranging from 1 quarter to 14 years. Only unexpected, transitory realized variance …

Since the fall of 2008, option smiles have been clearly asymmetric: out-of-the-money
currency options point to large expected exchange rate depreciations (appreciations) for …