We find that option-implied information such as forward-looking variance, skewness and the variance risk premium are sensitive to the way the volatility surface is constructed. For some state-of-the-art volatility surfaces, the differences are economically surprisingly large and lead to...

This study combines model-free conditional estimators for the risk-neutral and the physical distribution of equity returns to obtain daily measures for the pricing kernel at the monthly time horizon. Despite their time-varying nature, our pricing kernels are non-parametric, forward-looking,...