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Skewness Dispersion and Stock Market Returns
Mykola Babiak, Jozef Barunik, Josef Kurka
Cross-sectional dispersion in firm-level realized skewness is significantly and negatively related to future stock market returns. The predictive power of skewness dispersion is ro…
Common Firm-level Investor Fears: Evidence from Equity Options
Jozef Barunik, Mattia Bevilacqua, Michael Ellington
We identify a new type of risk, common firm-level investor fears, from commonalities within the cross-sectional distribution of individual stock options. We define firm-level fears…
The Dynamic Persistence of Economic Shocks
Jozef Barunik, Lukas Vacha
We propose a novel framework for modeling time-varying persistence in economic time series, allowing for smoothly evolving heterogeneity in shock dynamics. We leverage localized re…
Common Idiosyncratic Quantile Factors and Asset Prices
Jozef Barunik, Matej Nevrla
We investigate whether the tails of firm-level idiosyncratic return distributions are driven by common shocks. We use quantile factor analysis to extract such common idiosyncratic…