{"title":"跳跃式杠杆风险溢价","authors":"Tim Bollerslev , Viktor Todorov","doi":"10.1016/j.jfineco.2023.103723","DOIUrl":null,"url":null,"abstract":"<div><p>Jumps in asset prices are ubiquitous, yet the apparent high price of jump risk observed empirically is commonly viewed as puzzling. We develop new model-free short-time risk-neutral variance expansions, allowing us to clearly delineate the importance of jumps in generating both price and variance risks. We find that simultaneous jumps in the price and the stochastic volatility and/or jump intensity of the market commands a sizeable risk premium. The existence of “jump leverage” risk premium may be rationalized in the context of equilibrium-based models by jumps in the conditional moments of the underlying fundamentals and/or changes in investors' risk aversion.</p></div>","PeriodicalId":51346,"journal":{"name":"Journal of Financial Economics","volume":"150 3","pages":"Article 103723"},"PeriodicalIF":10.4000,"publicationDate":"2023-10-09","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":"2","resultStr":"{\"title\":\"The jump leverage risk premium\",\"authors\":\"Tim Bollerslev , Viktor Todorov\",\"doi\":\"10.1016/j.jfineco.2023.103723\",\"DOIUrl\":null,\"url\":null,\"abstract\":\"<div><p>Jumps in asset prices are ubiquitous, yet the apparent high price of jump risk observed empirically is commonly viewed as puzzling. We develop new model-free short-time risk-neutral variance expansions, allowing us to clearly delineate the importance of jumps in generating both price and variance risks. We find that simultaneous jumps in the price and the stochastic volatility and/or jump intensity of the market commands a sizeable risk premium. The existence of “jump leverage” risk premium may be rationalized in the context of equilibrium-based models by jumps in the conditional moments of the underlying fundamentals and/or changes in investors' risk aversion.</p></div>\",\"PeriodicalId\":51346,\"journal\":{\"name\":\"Journal of Financial Economics\",\"volume\":\"150 3\",\"pages\":\"Article 103723\"},\"PeriodicalIF\":10.4000,\"publicationDate\":\"2023-10-09\",\"publicationTypes\":\"Journal Article\",\"fieldsOfStudy\":null,\"isOpenAccess\":false,\"openAccessPdf\":\"\",\"citationCount\":\"2\",\"resultStr\":null,\"platform\":\"Semanticscholar\",\"paperid\":null,\"PeriodicalName\":\"Journal of Financial Economics\",\"FirstCategoryId\":\"96\",\"ListUrlMain\":\"https://www.sciencedirect.com/science/article/pii/S0304405X23001630\",\"RegionNum\":1,\"RegionCategory\":\"经济学\",\"ArticlePicture\":[],\"TitleCN\":null,\"AbstractTextCN\":null,\"PMCID\":null,\"EPubDate\":\"\",\"PubModel\":\"\",\"JCR\":\"Q1\",\"JCRName\":\"BUSINESS, FINANCE\",\"Score\":null,\"Total\":0}","platform":"Semanticscholar","paperid":null,"PeriodicalName":"Journal of Financial Economics","FirstCategoryId":"96","ListUrlMain":"https://www.sciencedirect.com/science/article/pii/S0304405X23001630","RegionNum":1,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":null,"EPubDate":"","PubModel":"","JCR":"Q1","JCRName":"BUSINESS, FINANCE","Score":null,"Total":0}
Jumps in asset prices are ubiquitous, yet the apparent high price of jump risk observed empirically is commonly viewed as puzzling. We develop new model-free short-time risk-neutral variance expansions, allowing us to clearly delineate the importance of jumps in generating both price and variance risks. We find that simultaneous jumps in the price and the stochastic volatility and/or jump intensity of the market commands a sizeable risk premium. The existence of “jump leverage” risk premium may be rationalized in the context of equilibrium-based models by jumps in the conditional moments of the underlying fundamentals and/or changes in investors' risk aversion.
期刊介绍：
The Journal of Financial Economics provides a specialized forum for the publication of research in the area of financial economics and the theory of the firm, placing primary emphasis on the highest quality analytical, empirical, and clinical contributions in the following major areas: capital markets, financial institutions, corporate finance, corporate governance, and the economics of organizations.
京公网安备 11010802042870号
京ICP备2023020795号-1
分享
求助内容：
应助结果提醒方式：
扫码关注我们
