| 来源类型 | Working Paper |
| 规范类型 | 报告 |
| DOI | 10.3386/w21491 |
| 来源ID | Working Paper 21491 |
| The Pricing of Short-Term market Risk: Evidence from Weekly Options | |
| Torben G. Andersen; Nicola Fusari; Viktor Todorov | |
| 发表日期 | 2015-08-24 |
| 出版年 | 2015 |
| 语种 | 英语 |
| 摘要 | We study short-term market risks implied by weekly S&P 500 index options. The introduction of weekly options has dramatically shifted the maturity profile of traded options over the last five years, with a substantial proportion now having expiry within one week. Economically, this reflects a desire among investors for actively managing their exposure to very short-term risks. Such short-dated options provide an easy and direct way to study market volatility and jump risks. Unlike longer-dated options, they are largely insensitive to the risk of intertemporal shifts in the economic environment, i.e., changes in the investment opportunity set. Adopting a novel general semi-nonparametric approach, we uncover variation in the shape of the negative market jump tail risk which is not spanned by market volatility. Incidents of such tail shape shifts coincide with serious mispricing of standard parametric models for longer-dated options. As such, our approach allows for easy identification of periods of heightened concerns about negative tail events on the market that are not always "signaled" by the level of market volatility and elude standard asset pricing models. |
| 主题 | Econometrics ; Estimation Methods ; Financial Economics ; Portfolio Selection and Asset Pricing ; Financial Markets ; Corporate Finance |
| URL | https://www.nber.org/papers/w21491 |
| 来源智库 | National Bureau of Economic Research (United States) |
| 引用统计 | |
| 资源类型 | 智库出版物 |
| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/579166 |
| 推荐引用方式 GB/T 7714 | Torben G. Andersen,Nicola Fusari,Viktor Todorov. The Pricing of Short-Term market Risk: Evidence from Weekly Options. 2015. |
| 条目包含的文件 | 条目无相关文件。 | |||||
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