The cross-sectional variation of volatility risk premia

• 成果类型: Article
• 署名作者: Gonzalez-Urteaga, Ana; Rubio, Gonzalo
• 署名单位: Universidad Publica de Navarra; Universidad CEU Cardenal Herrera
• 刊物名称: JOURNAL OF FINANCIAL ECONOMICS
• ISSN/ISSBN: 0304-405X
• DOI: 10.1016/j.jfineco.2015.09.009
• 发表日期: 2016
• 页码: 353-370
• 关键词: Volatility risk premia; stochastic discount factor; Consumption-based models; Linear factor models; Default premium

摘要

This paper analyzes the determinants of the cross-sectional variation of the average volatility risk premia for a representative set of portfolios sorted by volatility risk premium beta. The market volatility risk premium and, especially, the default premium are shown to be key risk factors in the cross-sectional variation of average volatility risk premium payoffs. The cross-sectional variation of risk premia seems to reflect a very different behavior of the underlying components of our sample portfolios with respect to credit or financial stress that generates a significant dispersion of the volatility swap pricing of these securities. (C) 2015 Elsevier B.V. All rights reserved.