The conditional covariance between the market return and its variance, which we refer to as the leverage effect, is positively related to the variance risk premium. It contains incremental information about the variance risk premium after controlling for other return moments and additional variables suggested by the literature as determinants of the variance risk premium. This empirical finding is supported by theory: the pricing of volatility risk is the economic channel behind the strong positive relation between the two variables. We use this relation to construct a time series of the variance risk premium dating back to 1926. (JEL G12, G13) Received February 7, 2020; editorial decision September 01, 2021 by Editor Hui Chen.

中文翻译：

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表征方差风险溢价：杠杆效应的作用

市场收益与其方差之间的条件协方差，我们称之为杠杆效应，与方差风险溢价正相关。它包含在控制其他回报时刻和文献建议的作为方差风险溢价决定因素的附加变量后关于方差风险溢价的增量信息。这一实证发现得到了理论的支持：波动风险的定价是两个变量之间存在强正相关关系的经济渠道。我们使用此关系构建可追溯到 1926 年的方差风险溢价时间序列。（JEL G12、G13）2020 年 2 月 7 日收到；编辑决定 2021 年 9 月 1 日，由编辑 Hui Chen。