| 来源类型 | Discussion paper |
| 规范类型 | 论文 |
| 来源ID | DP15239 |
| DP15239 Hedging macroeconomic and financial uncertainty and volatility | |
| Ian Dew-Becker; Stefano Giglio; Bryan Kelly | |
| 发表日期 | 2020-08-31 |
| 出版年 | 2020 |
| 语种 | 英语 |
| 摘要 | We study the pricing of shocks to uncertainty and volatility using a wide-ranging set of options contracts covering a variety of different markets. If uncertainty shocks are viewed as bad by investors, they should carry negative risk premia. Empirically, however, uncertainty risk premia are positive in most markets. Instead, it is the realization of large shocks to fundamentals that has historically carried a negative premium. In other words, we find that the return premium for gamma is negative while that for vega is positive. These results imply that it is jumps, for which exposure is measured by gamma, not forward-looking uncertainty shocks, measured by vega, that drive investors’ marginal utility. In further support of the jump interpretation, the return patterns are more extreme for deeper out of the money options. |
| 主题 | Financial Economics ; Monetary Economics and Fluctuations |
| URL | https://cepr.org/publications/dp15239 |
| 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/544214 |
| 推荐引用方式 GB/T 7714 | Ian Dew-Becker,Stefano Giglio,Bryan Kelly. DP15239 Hedging macroeconomic and financial uncertainty and volatility. 2020. |
| 条目包含的文件 | 条目无相关文件。 | |||||
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