Explaining asset pricing puzzles associated with the 1987 market crash

• 成果类型: Article
• 署名作者: Benzoni, Luca; Collin-Dufresne, Pierre; Goldstein, Robert S.
• 署名单位: University of Minnesota System; University of Minnesota Twin Cities; Federal Reserve System - USA; Federal Reserve Bank - Chicago; Columbia University; National Bureau of Economic Research
• 刊物名称: JOURNAL OF FINANCIAL ECONOMICS
• ISSN/ISSBN: 0304-405X
• DOI: 10.1016/j.jfineco.2011.01.008
• 发表日期: 2011
• 页码: 552-573
• 关键词: Volatility smile; Volatility smirk; implied volatility; option pricing; Portfolio insurance

摘要

The 1987 market crash was associated with a dramatic and permanent steepening of the implied volatility curve for equity index options, despite minimal changes in aggregate consumption. We explain these events within a general equilibrium framework in which expected endowment growth and economic uncertainty are subject to rare jumps. The arrival of a jump triggers the updating of agents' beliefs about the likelihood of future jumps, which produces a market crash and a permanent shift in option prices. Consumption and dividends remain smooth, and the model is consistent with salient features of individual stock options, equity returns, and interest rates. (C) 2011 Elsevier B.V. All rights reserved.