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 …

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 …

We propose a new measure of time-varying tail risk that is directly estimable from the cross-
section of returns. We exploit firm-level price crashes every month to identify common …

We study the effect of subjective mortality beliefs on life‐cycle behavior. With new survey
evidence, we document that survival is underestimated (overestimated) by the young (old) …

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 …

This paper studies whether Bitcoin can be classified as a currency, a commodity or an
investment asset. Inspired by the movement that tail behavior is the key feature to determine …

Uncertainty shocks can trigger business cycles, bank runs and asset price fluctuations. But
how do those shocks translate into changes in beliefs and actions? What makes people …

Historical data suggest that the base rate for a severe, single-day stock market crash is
relatively low. Surveys of individual and institutional investors, conducted regularly over a 26 …

Contrary to well-known asset pricing models, volatilities implied by equity index options
exceed realized stock market volatility and exhibit a pattern known as the volatility skew. We …

We find hedge funds that have higher return covariation with a disaster concern index, which
we develop through out-of-the-money puts on various economic sector indices, earn …