When Uncertainty Blows in the Orchard: Comovement and Equilibrium Volatility Risk Premia
研究了投资者分歧与指数和个股期权波动率风险溢价差异、微笑曲线斜率差异以及相关性风险溢价之间的均衡关系，发现定价的分歧风险能解释期权波动率和相关性交易策略的收益。
ABSTRACT We provide novel evidence for an equilibrium link between investors' disagreement, the market price of volatility and correlation, and the differential pricing of index and individual equity options. We show that belief disagreement is positively related to (i) the wedge between index and individual volatility risk premia, (ii) the different slope of the smile of index and individual options, and (iii) the correlation risk premium. Priced disagreement risk also explains returns of option volatility and correlation trading strategies in a way that is robust to the inclusion of other risk factors and different market conditions.