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 …

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 …

We study the pricing of shocks to uncertainty and volatility using a wide-ranging set of
options contracts covering a variety of different markets. If uncertainty shocks are viewed as …

We test whether bear market risk, time variation in the probability of future bear market
states, is priced. We construct an Arrow–Debreu security that pays off in bear market states …

In RBC models, disaster risk shocks reproduce countercyclical risk premia but generate an
increase in consumption along the recession and asset price fall, through their effects on …

This paper introduces a new tail-risk measure based on the risk-neutral excess expected
shortfall of a cross-section of stock returns. We propose a novel way to risk neutralize the …

We derive an options-pricing formula from recursive preferences and estimate rare disaster
probability. The new options-pricing formula applies to far out-of-the-money put options on …

Rare events (RE) and long-run risks (LRR) are complementary approaches for
characterizing macroeconomic variables and understanding asset pricing. We estimate a …

We study time-variation in the shape of the distribution of stock returns. In a global sample
covering 17 countries, returns are more left-skewed and fat tailed during good times than …

Over the last several years, the price of listed real estate stocks has been unusually high
relative to dividends. I find that neither low interest rates nor low risk premia can account for …