Adrian, Crump, and Vogt (2019) find that a nonlinear specification is required to identify a reliable relation between VIX and the equity premium. We reexamine this risk-return issue in a multi-risk framework with VIX and T-bond risk (MOVE). We find that: (1) the `MOVE-equity premium' relation...

Over 1960 to 2017, we show that a positive risk premium from holding high-beta stocks (versus low-beta stocks) and small-cap stocks (versus large-cap stocks) is reliably earned only after the expected stock-market volatility breaches an approximate top-quintile threshold. The high conditional...

Over the 1990 to 2022 period, we show that time-variation in the returns earned from equity-market exposure can be explained well with a simple specification, which predicts: (1) much higher excess returns after the implied volatility from equity-index options exceeds a high threshold at around...