This paper investigates international index return predictability using daily-updated option-implied information in predictive regressions and out-of-sample forecasts. We document the joint predictive power of a variance risk premium (VRP) proxy (defined as risk-neutral variance minus realized variance), Generalized Riskiness (GR), and higher-order moments for forecast horizons of one day to one year. These four risk metrics, which capture cumulative market “fears,” perform well in the US and in an international sample of countries. The VRP proxy and GR are significant and complementary predictors for several horizons, including under one month (VRP proxy) and longer horizons (GR). Risk-neutral skewness and kurtosis are significant for several countries across multiple horizons. Utility gain calculations confirm the economic significance of these risk-neutral variables across countries.

Experimental research suggests the Walrasian tâtonnement auction encourages traders to under-reveal preferences, even encouraging initial pledges contrary to true desires, because pledges are not binding. We analyze the timing and characteristics of individual pledges and trades during 9604 auctions for redbeans conducted by the Tokyo Grain Exchange. We find no evidence of contrarian pledging and little evidence of under-revelation – as many traders over-reveal as under-reveal. Most traders pledge seriously from the beginning. Despite the considerable heterogeneity in pledging behavior across individual traders, these differences appear to have no relationship with traders’ profits, nor do they appear to affect the achievement of equilibrium.