Abstract
This study investigates whether risks captured by higher order moments of stock market volatility are priced in the cross section of stocks. These moments are estimated from daily snapshots of VIX option prices and, therefore, are conditional and forward-looking. Empirical results show that exposure to kurtosis of aggregate volatility (KOV) is a significant cross-sectional determinant of stock returns. The KOV risk premium is negative and robust to controlling for exposures to alternative measures of economic uncertainty as well as stock characteristics.
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