教師資料查詢 | 類別: 會議論文 | 教師: 張瑄凌 HSUAN-LING CHANG (瀏覽個人網頁)

標題:Jump variance risk: Evidence from option valuation and stock returns
學年106
學期1
發表日期2017/09/15
作品名稱Jump variance risk: Evidence from option valuation and stock returns
作品名稱(其他語言)
著者Chang, Hsuan-Ling; Chang, Yen‐Cheng; Cheng, Hung‐Wen; Peng, Po‐Hsiang; Tseng, Kevin
作品所屬單位
出版者
會議名稱Northern Finance Association Conference
會議地點Halifax Regional Municipality, Canada
摘要We study jump variance risk by jointly examining both stock and option markets. We develop a GARCH option pricing model with jump variance dynamics and a nonmonotonic pricing kernel featuring jump variance risk premium. The model yields a closed‐form option pricing formula and improves in fitting index options from 1996 to 2015. The model‐implied jump variance risk premium has predictive power for future market returns. In the cross‐section, heterogeneity in exposures to jump variance risk leads to a 6% difference in risk‐adjusted returns annually.
關鍵字jump variance risk;nonmonotonic pricing kernel;option valuation;return predictability
語言英文
收錄於
會議性質國際
校內研討會地點
研討會時間20170915~20170917
通訊作者
國別英國
公開徵稿
出版型式
出處
相關連結
Google+ 推薦功能,讓全世界都能看到您的推薦!