G2TT
来源类型Discussion paper
规范类型论文
来源IDDP8268
DP8268 Variance risk, financial intermediation, and the cross-section of expected option returns
Alexandre Ziegler; Norman Schürhoff
发表日期2011-02-21
出版年2011
语种英语
摘要We explore the pricing of variance risk by decomposing stocks' total variance into systematic and idiosyncratic return variances. While systematic variance risk exhibits a negative price of risk, common shocks to the variances of idiosyncratic returns carry a large positive risk premium. This implies investors pay for insurance against increases (declines) in systematic (idiosyncratic) variance, even though both variances comove countercyclically. Common idiosyncratic variance risk is an important determinant for the cross-section of expected option returns. These findings reconcile several phenomena, including the pricing differences between index and stock options, the cross-sectional variation in stock option expensiveness, the volatility mispricing puzzle, and the significant returns earned on various option portfolio strategies. Our results are consistent with theories of financial intermediation under capital constraints.
主题Financial Economics
关键词Asset pricing Cross-section of option returns Financial intermediation Variance risk
URLhttps://cepr.org/publications/dp8268
来源智库Centre for Economic Policy Research (United Kingdom)
资源类型智库出版物
条目标识符http://119.78.100.153/handle/2XGU8XDN/537105
推荐引用方式
GB/T 7714
Alexandre Ziegler,Norman Schürhoff. DP8268 Variance risk, financial intermediation, and the cross-section of expected option returns. 2011.
条目包含的文件
条目无相关文件。
个性服务
推荐该条目
保存到收藏夹
导出为Endnote文件
谷歌学术
谷歌学术中相似的文章
[Alexandre Ziegler]的文章
[Norman Schürhoff]的文章
百度学术
百度学术中相似的文章
[Alexandre Ziegler]的文章
[Norman Schürhoff]的文章
必应学术
必应学术中相似的文章
[Alexandre Ziegler]的文章
[Norman Schürhoff]的文章
相关权益政策
暂无数据
收藏/分享

除非特别说明,本系统中所有内容都受版权保护,并保留所有权利。