Tails, Fears, and Risk Premia

• 成果类型: Article
• 署名作者: Bollerslev, Tim; Todorov, Viktor
• 署名单位: Duke University; Northwestern University
• 刊物名称: JOURNAL OF FINANCE
• ISSN/ISSBN: 0022-1082
• DOI: 10.1111/j.1540-6261.2011.01695.x
• 发表日期: 2011
• 页码: 2165-2211
• 关键词: stochastic volatility; STOCK; jumps; price; implicit; models; consumption; returns; MARKETS; options

摘要

We show that the compensation for rare events accounts for a large fraction of the average equity and variance risk premia. Exploiting the special structure of the jump tails and the pricing thereof, we identify and estimate a new Investor Fears index. The index reveals large time-varying compensation for fears of disasters. Our empirical investigations involve new extreme value theory approximations and high-frequency intraday data for estimating the expected jump tails under the statistical probability measure, and short maturity out-of-the-money options and new model-free implied variation measures for estimating the corresponding risk-neutral expectations.