Modeling Conditional Factor Risk Premia Implied by Index Option Returns

IF 7.6 1区 经济学 Q1 BUSINESS, FINANCE Journal of Finance Pub Date : 2024-03-08 DOI:10.1111/jofi.13324
MATHIEU FOURNIER, KRIS JACOBS, PIOTR ORŁOWSKI
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Abstract

We propose a novel factor model for option returns. Option exposures are estimated nonparametrically, and factor risk premia can vary nonlinearly with states. The model is estimated using regressions with minimal assumptions on factor and option return dynamics. We estimate the model using index options to characterize the conditional risk premia for factors of interest, such as the market return, market variance, tail and intermediary risk factors, higher moments, and the VIX term structure slope. Together, market return and variance explain more than 90% of option return variation. Unconditionally, the magnitude of the variance risk premium is plausible. It displays pronounced time variation, spikes during crises, and always has the expected sign.

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指数期权收益率隐含的条件因子风险溢价建模
我们提出了一种新的期权收益因子模型。期权风险敞口以非参数方式估算,因子风险溢价可随状态非线性变化。该模型采用回归法进行估计,对因子和期权收益动态的假设极少。我们使用指数期权对模型进行估计,以描述市场回报、市场方差、尾部和中间风险因素、高矩以及 VIX 期限结构斜率等相关因素的条件风险溢价。市场回报率和方差加在一起可以解释 90% 以上的期权回报率变化。无条件地,方差风险溢价的幅度是合理的。它显示出明显的时间变化,在危机期间出现峰值,并且总是具有预期的符号。
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来源期刊
Journal of Finance
Journal of Finance Multiple-
CiteScore
12.90
自引率
2.50%
发文量
88
期刊介绍: The Journal of Finance is a renowned publication that disseminates cutting-edge research across all major fields of financial inquiry. Widely regarded as the most cited academic journal in finance, each issue reaches over 8,000 academics, finance professionals, libraries, government entities, and financial institutions worldwide. Published bi-monthly, the journal serves as the official publication of The American Finance Association, the premier academic organization dedicated to advancing knowledge and understanding in financial economics. Join us in exploring the forefront of financial research and scholarship.
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