We examine whether climate change news risk is priced in corporate bonds. We estimate
bond covariance with a climate change news index and find that bonds with a higher climate …

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 …

We decompose the squared VIX index, derived from US S&P500 options prices, into the
conditional variance of stock returns and the equity variance premium. We evaluate a …

We survey the literature on stock return forecasting, highlighting the challenges faced by
forecasters as well as strategies for improving return forecasts. We focus on US equity …

We derive a measure of aggregate systemic risk, designated CATFIN, that complements
bank-specific systemic risk measures by forecasting macroeconomic downturns six months …

This paper estimates hedge fund and mutual fund exposure to newly proposed measures of
macroeconomic risk that are interpreted as measures of economic uncertainty. We find that …

This study employs a fresh perspective to investigate the causal relationship between
uncertainty, measured via the two proxies of Economic Policy Uncertainty (EPU) and the …

Can any multifactor model be interpreted as a variant of the Intertemporal CAPM (ICAPM)?
The ICAPM places restrictions on time-series and cross-sectional behavior of state variables …

We examine the pricing of both aggregate jump and volatility risk in the crosssection of
stock returns by constructing investable option trading strategies that load on one factor but …

This paper examines the intertemporal relation between downside risk and expected stock
returns. Value at Risk (VaR), expected shortfall, and tail risk are used as measures of …