A theory of volatility spreads

• 成果类型: Article
• 署名作者: Bakshi, Gurdip; Madan, Dilip
• 署名单位: University System of Maryland; University of Maryland College Park
• 刊物名称: MANAGEMENT SCIENCE
• ISSN/ISSBN: 0025-1909
• DOI: 10.1287/mnsc.1060.0579
• 发表日期: 2006
• 页码: 1945-1956
• 关键词: Risk aversion; physical return moments; Pricing kernel; risk-neutral volatility; volatility spreads; spanning risk-neutral moments

摘要

This study formalizes the departure between risk-neutral and physical index return volatilities, termed volatility spreads. Theoretically, the departure between risk-neutral and physical index volatility is connected to the higher-order physical return moments and the parameters of the pricing kernel process. This theory predicts positive volatility spreads when investors are risk averse, and when the physical index distribution is negatively skewed and leptokurtic. Our empirical evidence is supportive of the theoretical implications of risk aversion, exposure to tail events, and fatter left-tails of the physical index distribution in markets where volatility is traded.