| 来源类型 | Discussion paper |
| 规范类型 | 论文 |
| 来源ID | DP8268 |
| 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 |
| URL | https://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。 | |||||
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