This paper documents that systematic volatility risk is an important factor that drives the value premium observed in … volatility risk, I document significant differences between volatility factor loadings of value and growth stocks. Furthermore …, when markets are classified into expected booms and recessions, volatility factor loadings are also time-varying. When …

Option-implied volatility-managed risk factor models produce higher maximum squared Sharpe ratios than the recently …-implied volatility-managed risk factors based on dynamic scaling factors that systematically overestimate the expected market risk, as … repeatedly declared, it is surprising news that multivariate spanning regressions reveal that both the option-implied volatility …

even after controlling for market, size, book-to-market, and idiosyncratic volatility effects. We observe that stocks with …

Realized Volatility and the Variance Risk Premium. The approach is innovative along two different dimensions, namely: (1) we …-type models and (2) we price equity volatility risk using factors which go beyond the equity class. These are volatility factors …