---
title: The Common Factor in Volatility Risk Premia
url: https://www.ml-quant.com/papers/ssrn/4618943/
site: ML-Quant (https://www.ml-quant.com)
updated: 2026-09-26
license: Summaries CC BY 4.0; links go to the original sources
index: https://www.ml-quant.com/llms.txt
identifier: SSRN 4618943
source_url: https://papers.ssrn.com/sol3/papers.cfm?abstract_id=4618943
featured: 2023-11-02
citations: 0
topic: Derivatives & Volatility
---


# The Common Factor in Volatility Risk Premia

Firm-level volatility risk premium has a strong factor structure, with stocks with the weakest exposures to the common bad volatility risk premium factor earning higher average returns, and the common factor in total bad volatility risk premium predicting stock market returns.

- Source: https://papers.ssrn.com/sol3/papers.cfm?abstract_id=4618943
- Identifier: SSRN 4618943
- Released: 2023-10-31
- First featured: Quant Letter No. 24 (2023-11-02): https://www.ml-quant.com/issues/2023-11-02/
- Citations (Semantic Scholar): 0
- Published in: not yet
- Topic: Derivatives & Volatility

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