This paper estimates the variance risk premium (VRP) and the skew risk premium (SRP) for the individual stocks and indexes in the US financial markets, and then further analyzes the determinants of the cross-sectional variations of (i) the VRP and SRP for 40 indexes and stocks, (ii) the average...

This paper extends the production-based equilibrium model studied by Zhang, Zhao, and Chang (2012), in which the stock return has constant volatility and the investor has a constant relative risk aversion (CRRA) utility function, into more general settings where the volatility of the stock...

This paper extends the AK production model in Pindyck and Wang (2013) into a more general setting in which the volatility of capital stock is stochastic and driven by shocks. After solving the equilibrium, the fundamental shocks are embedded into the stock price and the leverage effect is...

This paper presents a robust new finding that there is a significantly negative relation between the equity option returns and the forward-looking volatility-of-volatility (VOV). After controlling for numerous existing option and stock characteristics, the VOV effect remains significantly...

In this paper, we extend the variance risk premium (VRP) in Bollerslev and Tauchen and Zhou (2009) into the moment spreads. Rather than analyzing the times-series market returns predictability, we newly investigate the predictability of market moment spreads in the cross section of expected...