When Uncertainty Blows in the Orchard: Comovement and Equilibrium Volatility Risk Premia

• 成果类型: Article
• 署名作者: Buraschi, Andrea; Trojani, Fabio; Vedolin, Andrea
• 署名单位: University of Chicago; Imperial College London; Universita della Svizzera Italiana; Swiss Finance Institute (SFI); University of London; London School Economics & Political Science
• 刊物名称: JOURNAL OF FINANCE
• ISSN/ISSBN: 0022-1082
• DOI: 10.1111/jofi.12095
• 发表日期: 2014
• 页码: 101-137
• 关键词: asset prices; investor attention; MARKET VOLATILITY; cross-section; STOCK; MODEL; Sentiment; returns

摘要

We provide novel evidence for an equilibrium link between investors' disagreement, the market price of volatility and correlation, and the differential pricing of index and individual equity options. We show that belief disagreement is positively related to (i) the wedge between index and individual volatility risk premia, (ii) the different slope of the smile of index and individual options, and (iii) the correlation risk premium. Priced disagreement risk also explains returns of option volatility and correlation trading strategies in a way that is robust to the inclusion of other risk factors and different market conditions.