There is not a day goes by without a passionate debate concerning Big Tech companies; while the main concern of governments seems to be related to social justice, a growing worry is associated with the consequences that large firms have on consumer welfare; nowadays these big entities engage in...

This paper develops an overlapping-generations economy where the agents forecast future variance with the RiskMetrics variance model. I show that this feature induces a two-factor asset pricing model in which risk premiums are determined by both the market beta and the “RiskMetrics beta”...