Sellers of variance swaps earn time-varying risk premia for their exposure to realized variance, the level of variance swap rates, and the slope of the variance swap curve. To measure risk premia, we estimate a dynamic term structure model that decomposes variance swap rates into expected...

Risk premium plays an important role in stock investing. Experiments have shown that value stocks typically have a higher average return than growth stocks; however, this effect persists indefinitely, even disappearing in some stages. Some studies suggested high volatility in the series of...

Households face earnings risk which is non-normal and varies by age and over the income distribution. We show that allowing for these rich features of earnings dynamics, in the context of a structurally estimated life-cycle portfolio choice model, helps to rationalize the limited participation...