Schürhoff, Norman; Ziegler, Alexandre - Institut für Schweizerisches Bankwesen <Zürich> - 2011
We explore the pricing of variance risk by decomposing stocks' total variance into systematicand idiosyncratic return variances. While systematic variance risk exhibits a negative priceof risk, common shocks to the variances of idiosyncratic returns carry a large positive riskpremium. This...