Does variance risk have two prices? Evidence from the equity and option markets

• 成果类型: Article
• 署名作者: Barras, Laurent; Malkhozov, Aytek
• 署名单位: McGill University; Bank for International Settlements (BIS)
• 刊物名称: JOURNAL OF FINANCIAL ECONOMICS
• ISSN/ISSBN: 0304-405X
• DOI: 10.1016/j.jfineco.2016.02.014
• 发表日期: 2016
• 页码: 79-92
• 关键词: Variance risk premium; OPTION; equity; Financial intermediaries

摘要

We formally compare two versions of the market variance risk premium (VRP) measured in the equity and option markets. Both VRPs follow common patterns and respond similarly to changes in volatility and economic conditions. However, we reject the null hypothesis that they are identical and find that their difference is strongly related to measures of the financial standing of intermediaries. These results shed new light on the information content of the VRP, suggest the presence of market frictions between the two markets, and are consistent with the key role played by intermediaries in setting option prices. (c) 2016 Elsevier B.V. All rights reserved.