Risk premiums are presumably omnipresent and almost impossible to measure. This paper outlines the origin of the modern theory of risk premiums, the history of its testing, and surveys the current failure of this theory across over 20 different asset classes. It is argued that a relative status oriented utility functions explaisn the absence of a risk premium rather neatly. When agents are concerned about relative wealth, risk taking is then deviating from the consensus or market portfolio. In this environment, all risk becomes like idiosyncratic risk in the standard model, avoidable so unpriced.