Volatility risk premia betas

This paper analyzes the cross-sectional and time-series behavior of thevolatility risk premia betas at the portfolio level. These betas show a monotonic relation with respect to the magnitude of the volatility risk premium payoffs. Moreover, portfolio conditional volatility risk premia betas increase significantly in recessions. In particular, these betas tend to increase significantly with default premium, market betas and the HML and SMB Fama-French risk factors. On the other hand, conditional betas tend to decrease when industrial production growth, consumption growth, the market excess return, and the momentum factor increase.