We measure the skew risk premium in the equity index market through the skew swap. We argue that just as variance swaps … swap, the skew swap corresponds to a trading strategy, necessary to assess risk premia in a model-free way. We find that … almost half of the implied volatility skew can be explained by the skew risk premium. We provide evidence that skew and …

exposure to macroeconomic risk, consistent with sticky information models in which people are inattentive, but understand how …

justification for assessing stocks' risk as a function of the investment horizon. He concludes that stocks' risk increases … appear to hinge on his proof that stocks' risk increases with the investment horizon. But Bodie's methodology also can be … used to prove that any asset class's risk increases with the investment horizon. Thus, if Bodie's methodology is accepted …