The equity premium is time-varying. More importantly, the equity premium changes are often associated with events days and these event days are associated with macro event days. In the paper "Equity Premium Events", the authors look at short dated option expirations to measure the equity premium and find that it is often associated macro releases like the FOMC, CPI and non-farm payroll.
The paper is based on measuring implied equity premium, the premium in implied by option prices across the option term structure. The implied equity premium, SVIX, will vary significantly across time and across the term premium. The equity premium is interestingly lower than the actual realized volatility; however, these premia have been elevated for FOMC and CPI releases over the last two years. With the growing importance of FOMC and CPI announcements, there has been a corresponding increase in risk.
Generally, changes in risk are associated with changes in risk and uncertainty around macroeconomic announcement dates.
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