We develop a method that identifies the attention paid by earnings call participants to firms'
climate change exposures. The method adapts a machine learning keyword discovery …

This article reviews the predictability evidence on the variance risk premium:(a) It predicts
significant positive risk premia across equity, bond, currency, and credit markets;(b) the …

Strong regulatory actions are needed to combat climate change, but climate policy
uncertainty makes it difficult for investors to quantify the impact of future climate regulation …

We estimate the risk premium for firm-level climate change exposure among S&P 500 stocks
and its time-series evolution between 2005 to 2020. Exposure reflects the attention paid by …

Hundreds of papers and factors attempt to explain the cross-section of expected returns.
Given this extensive data mining, it does not make sense to use the usual criteria for …

We investigate the role of economic uncertainty in the cross-sectional pricing of individual
stocks and equity portfolios. We estimate stock exposure to an economic uncertainty index …

Across the globe, COVID-19 has disrupted the financial markets, making them more volatile.
Thus, this paper examines the market volatility and asymmetric behavior of Bitcoin, EUR …

The variance risk premium, defined as the difference between the actual and risk-neutral
expectations of the forward aggregate market variation, helps predict future market returns …

This Article aims to provide a foundation for a form of engagement by large institutional
investors and asset managers with their portfolio companies and with the broader corporate …

An introduction to the theory and methods of empirical asset pricing, integrating classical
foundations with recent developments. This book offers a comprehensive advanced …