The Skew Risk Premium in the Equity Index Market
提出一种衡量矩风险溢价的新方法，发现标普500市场中偏斜溢价占隐含波动率曲线斜率的40%以上，且偏斜风险与方差风险紧密相关，为灾难风险溢价模型提供了可检验的约束。
We develop a new method for measuring moment risk premiums. We find that the skew premium accounts for over 40% of the slope in the implied volatility curve in the S&P 500 market. Skew risk is tightly related to variance risk, in the sense that strategies designed to capture the one and hedge out exposure to the other earn an insignificant risk premium. This provides a new testable restriction for asset pricing models trying to capture, in particular, disaster risk premiums. We base our results on a general trading strategy by replicating contracts that swap implied for realized conditional asset moments.