Variance risk premia (VRP) based on equity and credit market information for the same firm differ substantially in magnitude. VRP is strongly dependent on firm characteristics. Higher-leveraged and larger firms have lower VRP. The smirk in the plot of VRP vs. leverage is higher for low-levered firms than for high-levered firms. This smirk is more pronounced in the credit market than in the equity market. VRP, and especially credit VRP, correlates with higher future returns and is a priced source of risk in both markets.

中文翻译：

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同一家公司，有两个波动率：差异风险在信贷和股票市场中如何定价

基于同一公司的股权和信贷市场信息的方差风险溢价（VRP）的幅度差异很大。VRP强烈依赖于公司特征。高杠杆和较大的公司的VRP较低。低杠杆公司的VRP与杠杆关系曲线中的假笑比高杠杆公司的傻笑更高。与股票市场相比，这种假笑在信贷市场上更为明显。VRP，尤其是信用VRP，与更高的未来回报相关，并且是两个市场中定价高昂的风险来源。