The Pricing of Variance of Variance Risk in Cross-Sectional Equity Premium and Variance Premium
The volatility risk premium in equities, studied by Chen and Chung in 2013 with a linear factor model. The abstract mentions a benchmark but not an out-of-sample test, transaction costs, multiple testing or the size of the universe.
“Furthermore, stock with high square of return sensitivities to market variance of variance have higher 30-day variance risk premium, which is the difference between risk-neutral variance and realized variance, than stocks with low sensitivities by 27 percent square per month.”
AssetEquitiesindices
StrategyVolatility risk premiummachine learning
TechniqueLinear factor model
GeographyUS
Also stated: Intraday, Options-implied, benchmark
Missing from abstract: out-of-sample test, costs, multiple testing, universe
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The paper's neighbourhoodVolatility risk premium by year
FamilyVolatility risk premium102Momentum and trend following289Factor investing240Machine learning return prediction15318 more · 900
The family is counted across the whole universe. Asset, method and authors are counted inside the family.
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