We explore whether the market variance risk premium (VRP) can be predicted. First, we propose a novel approach to … maturities and investment horizons and they are economically significant. Volatility trading strategies which condition on the …

This paper decomposes the risk premia of individual stocks into contributions from systematic and idiosyncratic risks … the variance of idiosyncratic returns. The estimation is performed on a time series of returns and option prices from 2006 … 80% of the equity and variance risk premia, respectively. I provide a categorization of sectors based on the risk profile …

risk-neutral distributions as well as the term structure of volatility smiles and of variance risk premia. We find that the …This paper studies the information content of the S&P 500 and VIX markets on the volatility of the S&P 500 returns. We …