The risk premia embedded in index options

• 成果类型: Article
• 署名作者: Andersen, Torben G.; Fusari, Nicola; Todorov, Viktor
• 署名单位: Northwestern University; Johns Hopkins University
• 刊物名称: JOURNAL OF FINANCIAL ECONOMICS
• ISSN/ISSBN: 0304-405X
• DOI: 10.1016/j.jfineco.2015.06.005
• 发表日期: 2015
• 页码: 558-584
• 关键词: Option pricing; risk premia; jumps; stochastic volatility; Return predictability; risk aversion; extreme events

摘要

We study the dynamic relation between market risks and risk premia using time series of index option surfaces. We find that priced left tail risk cannot be spanned by market volatility (and its components) and introduce a new tail factor. This tail factor has no incremental predictive power for future volatility and jump risks, beyond current and past volatility, but is critical in predicting future market equity and variance risk premia. Our findings suggest a wide wedge between the dynamics of market risks and their compensation, which typically displays a far more persistent reaction following market crises. (C) 2015 Elsevier B.V. All rights reserved.