Hedging macroeconomic and financial uncertainty and volatility
成果类型：
Article
署名作者：
Dew-Becker, Ian; Giglio, Stefano; Kelly, Bryan
署名单位：
Northwestern University; Yale University
刊物名称：
JOURNAL OF FINANCIAL ECONOMICS
ISSN/ISSBN：
0304-405X
DOI：
10.1016/j.jfineco.2021.05.053
发表日期：
2021
页码：
23-45
关键词：
摘要：
We study the pricing of shocks to uncertainty and volatility using a wide-ranging set of options contracts covering a variety of different markets. If uncertainty shocks are viewed as bad by investors, they should carry negative risk premiums. Empirically, however, uncertainty risk premiums are positive in most markets. Instead, it is the realization of large shocks to fundamentals that has historically carried a negative premium. In other words, we find that the return premium for gamma is negative, while that for vega is positive. These results imply that it is jumps, for which exposure is measured by gamma, not forward-looking uncertainty shocks, measured by vega, that drive investors' marginal utility. In further support of the jump interpretation, the return patterns are more extreme for deeper out-of-the-money options. (C) 2021 Elsevier B.V. All rights reserved.