Studies of asset returns time-series provide strong evidence that at least two stochastic factors drive volatility. The first essay investigates whether two volatility risks are priced in the stock option market and estimates volatility risk prices in a cross-section of stock option returns. The...

We show that the newly developed exchange-traded world equity index funds, or iShares, trade at economically significant premiums for 10–50% of the times even after controlling for transaction costs and time-zone measurement errors. Moreover, iShares price returns exhibit excessive volatility...