Convocatoria Programa de Desarrollo Académico de los Estudiantes de Economía de la UCR (PDA) I-2025
This paper obtains monthly implied volatilities of the NYSE from1900 to 1934 from interest rate differentials. The resulting impliedvolatilities were about 40% higher than their modern (2007-2019) coun-terparts, justifying an market risk premium almost twice as high as thecurrent level.