Using a procedure analogous to that of Ang et al. (2006), this paper documents that aggregate volatility risk does not appear to be priced in European equity markets. Specifically, based on the 2002-2016 period (for which European stock return data is available), the price of aggregate...

This paper shows that the relationships between sensitivity to changes in aggregate volatility and expected return on stocks documented by Ang et al. (2006) for the fifteen-year period from 1986 to 2000 have disappeared in the following fifteen-year period. Aggregate volatility betas in the...

This paper shows that the relationships between sensitivity to changes in aggregate volatility and expected return on stocks documented by Ang et al. (2006) for the fifteen-year period from 1986 to 2000 have disappeared in the following fifteen-year period. Aggregate volatility betas in the...

We examine stock market risk surrounding the COVID-19 pandemic at the industry level. We find that low-beta industries experienced a significant increase in relative risk at the worst possible time. Shocks to market beta were not accompanied by offsetting changes in loadings on other factors,...