Variance risk and the idiosyncratic volatility puzzle

Keyphrases

• Risk Aversion 100%
• Variance Risk 100%
• Variance Risk Premium 100%
• Idiosyncratic Volatility 100%
• Idiosyncratic Volatility Puzzle 100%
• Stock Returns 50%
• Predictive Power 50%
• Risk Level 50%
• Economic Uncertainty 50%
• Asset Returns 50%
• Conditional Variance 50%
• Investor Demand 50%
• VIX Index 50%
• CBOE VIX 50%
• Return Spread 50%
• Economic Conditions 50%

Economics, Econometrics and Finance

• Idiosyncratic Volatility 100%
• Capital Market Returns 66%
• Risk Premium 66%
• Investors 33%
• Economic Uncertainty 33%
• Macroeconomic Performance 33%