Short-Term Market Risks Implied by Weekly 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 FINANCE
• ISSN/ISSBN: 0022-1082
• DOI: 10.1111/jofi.12486
• 发表日期: 2017
• 页码: 1335-1386
• 关键词: stochastic volatility; Contingent claims; PRICING-MODELS; stock returns; jump; premia; specification; completeness; prices; series

摘要

We study short-maturity (weekly) S&P 500 index options, which provide a direct way to analyze volatility and jump risks. Unlike longer-dated options, they are largely insensitive to the risk of intertemporal shifts in the economic environment. Adopting a novel seminonparametric approach, we uncover variation in the negative jump tail risk, which is not spanned by market volatility and helps predict future equity returns. As such, our approach allows for easy identification of periods of heightened concerns about negative tail events that are not always signaled by the level of market volatility and elude standard asset pricing models.