A Decomposition of Conditional Risk Premia and Implications for Representative Agent Models

The authors are grateful for helpful comments from Lukas Schmid (the editor), an anonymous associate editor, and two anonymous referees. The authors are also grateful for helpful comments from Adem Atmatz (discussant), Jennifer Conrad, Zhi Da, Jeroen Dalderop (discussant), Christian Dorion, Andrei Goncalves, Eric Ghysels, Nikunj Kapadia, Christian Lundblad, Dmitriy Muravyev, Neil Pearson (discussant), Jacob Sagi, David Schreindorfer (discussant), Gill Segal, Sang Byung Seo, and Andreas Stathopoulos (discussant), as well as from seminar participants at the American Finance Association Annual Meeting, the Midwest Finance Association Annual Meeting, the Financial Management Association Conference on Derivatives and Volatility, the Virtual Derivatives Workshop, the Northern Finance Association Conference, the Wabash River Conference, Purdue University, Temple University, the University of Massachusetts Amherst, the University of North Carolina at Chapel Hill, and the University of Notre Dame. Any errors are the authors’ own.