| 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 | en |
| 收錄於 | |
| 會議性質 | 國際 |
| 校內研討會地點 | 無 |
| 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 ) |
| SDGS | 尊嚴就業與經濟發展 |
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