..., and the relation is roughly quadratic. In contrast, firms with high expected stock returns have low future returns to trading in stock return variance through option contracts because these firms have high option-implied variance relative to future realized variance, i.e., low variance risk premia (VRP). The study...

... with financial statement information indicative of high (low) future realized volatility. These results suggest that accounting-based volatility drivers may serve as useful indicators of variance risk. Finally, I demonstrate that the incorporation of accounting-based fundamental information into forecasting...