almost half of the implied volatility skew can be explained by the skew risk premium. We provide evidence that skew and …We measure the skew risk premium in the equity index market through the skew swap. We argue that just as variance swaps … skew swaps be used to explore the relationship between the skew in implied volatility and realized skew. Like the variance …

period from 01/1990 to 12/2009. We find that the market variance risk is priced, its risk premium is negative and … economically very large. The variance risk premium cannot be explained by the known risk factors and option returns …

We estimate the term structure of the price of variance risk (PVR), which helps distinguish between competing asset … straddles; second, we estimate the PVR in a Heston (1993) stochastic-volatility model. In both cases, the estimation is … more negative and its term structure is steeper when volatility is high. These findings are inconsistent with calibrations …

This paper empirically describes how the risk premiums of size portfolios vary with macro-economic fluctuations in the … price of risk at the portfolio formation dates, thereby explaining the lack of robustness involving the unconditional size … premium: Only portfolios formed in "bad" states - with price of risk among the largest 30% - earn significantly positive …

This paper analyzes how the combination of borrowing constraints and idiosyncratic risk affects the equity premium in … idiosyncratic risk increases the equity premium by 70 percent, which means that the mechanism described in Constantinides, Donaldson … the zero-borrowing constraint is a lot weaker. More surprisingly, when I introduce idiosyncratic labor income risk in an …

The long-run consumption risk (LRR) model is a promising approach to resolve prominent asset pricing puzzles. The … serial correlation of consumption and dividend growth and the equilibrium conditions for market return and risk-free rate, as … well as the model-implied predictability of the risk-free rate. We match analytical moments when possible and simulated …

The long-run consumption risk (LRR) model is a promising approach to resolve prominent asset pricing puzzles. The … serial correlation of consumption and dividend growth and the equilibrium conditions for market return and risk-free rate, as … well as the model-implied predictability of the risk-free rate. We match analytical moments when possible and simulated …

of risk premia if and only if volatility is stochastic. Our model can thus justify the recent empirical results on the … term structure of risk premia if the pricing of volatility risk is downward sloping (in absolute value) in the data and if … downward-sloping term structures of returns on a given market are driven solely by exposures to volatility risk. We test these …

volatility model completed by liquidly traded put options. We demonstrate with these equilibrium relations that the risk neutral … between the market pricing kernel, the market prices of risks and the market risk aversion under a continuous time stochastic … also show that in this completed market stochastic volatility cannot explain the documented empirical pricing kernel puzzle …

volatility model completed by liquidly traded put options. We demonstrate with these equilibrium relations that the risk neutral … between the market pricing kernel, the market prices of risks and the market risk aversion under a continuous time stochastic …). We also show that in this completed market stochastic volatility cannot explain the documented empirical pricing kernel …