We document that the term structures of risk-neutral expected loss and gain uncertainty on the S&P500 returns are upward sloping on average. These shapes mainly reflect the higher premium required by investors to hedge downside risk, and the belief that potential gains will increase in the...

We decompose the quadratic payoff on a stock into its loss and gain components and measure the premia associated with their fluctuations, called the loss and gain quadratic risk premium (QRP) respectively. The loss QRP interprets as the premium paid for downside risk hedging, while the gain QRP...

We decompose the quadratic payoff on a stock into its loss and gain components and measure the premia associated with their fluctuations, called the loss and gain quadratic risk premium (QRP) respectively. The loss QRP interprets as the premium paid for downside risk hedging, while the gain QRP...