股票指数市场的风险溢价偏倚

Term Structure and Volatility Pub Date : 2012-11-27 DOI:10.2139/ssrn.1571700

R. Kozhan, A. Neuberger, P. Schneider

{"title":"股票指数市场的风险溢价偏倚","authors":"R. Kozhan, A. Neuberger, P. Schneider","doi":"10.2139/ssrn.1571700","DOIUrl":null,"url":null,"abstract":"We develop a new method for measuring moment risk premiums. We find that the skew premium accounts for over 40% of the slope in the implied volatility curve in the S&P 500 market. Skew risk is tightly related to variance risk, in the sense that strategies designed to capture the one and hedge out exposure to the other earn an insignificant risk premium. This provides a new testable restriction for asset pricing models trying to capture, in particular, disaster risk premiums. We base our results on a general trading strategy by replicating contracts that swap implied for realized conditional asset moments.","PeriodicalId":348197,"journal":{"name":"Term Structure and Volatility","volume":"29 6","pages":"0"},"PeriodicalIF":0.0000,"publicationDate":"2012-11-27","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":"206","resultStr":"{\"title\":\"The Skew Risk Premium in the Equity Index Market\",\"authors\":\"R. Kozhan, A. Neuberger, P. Schneider\",\"doi\":\"10.2139/ssrn.1571700\",\"DOIUrl\":null,\"url\":null,\"abstract\":\"We develop a new method for measuring moment risk premiums. We find that the skew premium accounts for over 40% of the slope in the implied volatility curve in the S&P 500 market. Skew risk is tightly related to variance risk, in the sense that strategies designed to capture the one and hedge out exposure to the other earn an insignificant risk premium. This provides a new testable restriction for asset pricing models trying to capture, in particular, disaster risk premiums. We base our results on a general trading strategy by replicating contracts that swap implied for realized conditional asset moments.\",\"PeriodicalId\":348197,\"journal\":{\"name\":\"Term Structure and Volatility\",\"volume\":\"29 6\",\"pages\":\"0\"},\"PeriodicalIF\":0.0000,\"publicationDate\":\"2012-11-27\",\"publicationTypes\":\"Journal Article\",\"fieldsOfStudy\":null,\"isOpenAccess\":false,\"openAccessPdf\":\"\",\"citationCount\":\"206\",\"resultStr\":null,\"platform\":\"Semanticscholar\",\"paperid\":null,\"PeriodicalName\":\"Term Structure and Volatility\",\"FirstCategoryId\":\"1085\",\"ListUrlMain\":\"https://doi.org/10.2139/ssrn.1571700\",\"RegionNum\":0,\"RegionCategory\":null,\"ArticlePicture\":[],\"TitleCN\":null,\"AbstractTextCN\":null,\"PMCID\":null,\"EPubDate\":\"\",\"PubModel\":\"\",\"JCR\":\"\",\"JCRName\":\"\",\"Score\":null,\"Total\":0}","platform":"Semanticscholar","paperid":null,"PeriodicalName":"Term Structure and Volatility","FirstCategoryId":"1085","ListUrlMain":"https://doi.org/10.2139/ssrn.1571700","RegionNum":0,"RegionCategory":null,"ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":null,"EPubDate":"","PubModel":"","JCR":"","JCRName":"","Score":null,"Total":0}

引用次数: 206

摘要

本文提出了一种新的时刻风险溢价度量方法。我们发现，在标准普尔500指数市场中，倾斜溢价占隐含波动率曲线斜率的40%以上。倾斜风险与方差风险密切相关，从某种意义上说，旨在捕捉一个风险并对冲另一个风险的策略可以获得微不足道的风险溢价。这为试图捕获特别是灾害风险溢价的资产定价模型提供了一个新的可测试的限制。我们将结果建立在一般交易策略的基础上，通过复制合约来交换隐含的实现条件资产时刻。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

查看原文

微信好友朋友圈 QQ好友复制链接

本刊更多论文

The Skew Risk Premium in the Equity Index Market

We develop a new method for measuring moment risk premiums. We find that the skew premium accounts for over 40% of the slope in the implied volatility curve in the S&P 500 market. Skew risk is tightly related to variance risk, in the sense that strategies designed to capture the one and hedge out exposure to the other earn an insignificant risk premium. This provides a new testable restriction for asset pricing models trying to capture, in particular, disaster risk premiums. We base our results on a general trading strategy by replicating contracts that swap implied for realized conditional asset moments.

求助全文

通过发布文献求助，成功后即可免费获取论文全文。去求助