會議論文

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 en
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 GBR
公開徵稿
出版型式
出處
相關連結

機構典藏連結 ( http://tkuir.lib.tku.edu.tw:8080/dspace/handle/987654321/119658 )