We study the options-implied market risks that affect US-European stock-return correlations
during 2007–2021. We discover that US stock-and bond-market uncertainty, stock-market …

Diversified banks (ie financial conglomerates) trade often at a discount compared to
matched portfolios of specialized stand-alone banks. The existing research explains this …

I study the options‐implied market risks that affect US stock–bond correlations from 2007 to
2021. I discover that US stock and bond market uncertainty, stock market tail risk, and global …

Skewness risk premium is the difference between realized skewness and implied skewness.
This paper provides empirical evidence of the predictive power of skewness risk premium for …

This paper empirically investigates the financial performance of asset allocation strategies
under “sustainable” risk preferences and conventional risk preferences. We assume that …

This work introduces two new financial derivatives into the finance literature. The first is the
return barrier option, which has emerged recently as a popular contract in the OTC markets …

This paper provides new evidence on the pricing of market skewness risk by incorporating
investor sentiment in the relation between sensitivity to innovations in implied market …

The Journal of Derivatives (JOD) is the leading analytical journal on derivatives, providing
detailed analyses of theoretical models and how they are used in practice. The JOD …

I explore the benefits of incorporating conditional higher moments in the international
portfolio allocation. The quantile-based conditional higher moments are robust to outliers …

The aims of this study are twofold. First, to determine the sign and magnitude of the
skewness risk premium (SRP) in the Italian index option market using two procedures:(i) …