The Reconfiguration Premium: Co-movement Structure as an Unspanned Dimension of the Variance Risk Premium
The volatility risk premium in equities, studied by Carvalho in 2026 with a linear factor model. The abstract mentions alpha and a benchmark but not an out-of-sample test, transaction costs, multiple testing or the size of the universe.
“That rate is priced: it couples to the aggregate variance risk premium at t = 5.40, no level measure correlates above 0.32, and the implied-correlation surface spans at most 6.7 percent of it.”
AssetEquitiesindices, single stocks
StrategyVolatility risk premium
TechniqueLinear factor model
GeographyUS
Also stated: Alpha, 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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