| 来源类型 | Discussion paper |
| 规范类型 | 论文 |
| 来源ID | DP16389 |
| DP16389 The Correlation Risk Premium: International Evidence | |
| Gonçalo Faria; Robert Kosowski; Tianyu Wang | |
| 发表日期 | 2021-07-22 |
| 出版年 | 2021 |
| 语种 | 英语 |
| 摘要 | In this paper we carry out the first cross-country analysis of the correlation risk premium. We examine the statistical properties of the implied and realized correlation in European equity markets and relate the resulting premium to US equity market correlation risk and a global correlation risk premium. We find evidence of strong co-movement of correlation risk premiums in European and US equity markets. Our results support the existence of a strong empirical relationship between the global correlation risk premium and international equity market option returns. We document the dependence of the correlation risk premium on macroeconomic policy uncertainty and related variables. |
| 主题 | Financial Economics |
| 关键词 | Correlation risk premium Implied correlation Realized correlation Variance risk premium International equity options |
| URL | https://cepr.org/publications/dp16389 |
| 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/545351 |
| 推荐引用方式 GB/T 7714 | Gonçalo Faria,Robert Kosowski,Tianyu Wang. DP16389 The Correlation Risk Premium: International Evidence. 2021. |
| 条目包含的文件 | 条目无相关文件。 | |||||
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