David will present his paper:

Volatility and the Pricing Kernel (co-authored with Tobias Sichert)

Abstract

Negative stock market returns are significantly more painful to investors when they occur in periods of low volatility. To establish this fact, we show that a drop in volatility makes the pricing kernel steeper and average put option returns more negative. Asset pricing theories based on habits and long-run risks imply that the pricing of stock market risk does not vary with volatility, or that it moves in the opposite direction. An explanation of our finding that is consistent with prior empirical evidence, as well as the model of Gabaix (2012), is that volatility evolves independently of the pricing kernel.