Preprint
Aug 2026
The Reconfiguration Premium: Co-movement Structure as an Unspanned Dimension of the Variance Risk Premium
Hedge ratios, factor models and diversified portfolios all rest on an estimate of which firms move together. That estimate is not stable: firms migrate between the groupings the market treats as coherent, and when enough migrate the organizing axes of the cross-section turn. We measure the rate of that turning as the m...
Lucas Carvalho
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