Downside Variance Risk Premium*
将方差风险溢价分解为上行和下行两部分，发现下行部分才是主要成分，且与股权溢价正相关，而上行部分关系为负但不显著，这解释了为何下行方差风险溢价与股权溢价的关系强于整体方差风险溢价。
We propose a new decomposition of the variance risk premium (VRP) in terms of upside and downside VRPs. These components reflect market compensation for changes in good and bad uncertainties. Empirically, we establish that the downside VRP is the main component of the VRP. We find a positive and significant link between the downside VRP and the equity premium, and a negative but statistically insignificant link between the upside VRP and the equity premium. The opposite relationships between these two components and the equity premium explains the stronger link found between the downside VRP and the equity premium compared with the well-established relationship between VRP and the equity premium. A simple equilibrium consumption-based asset pricing model, fitted to the U.S. data, supports our decomposition.