{"title":"方差风险溢价的变化及其预测能力:来自期权市场情绪的证据","authors":"Y. Chung, Sun‐Joong Yoon","doi":"10.1142/s201013922050010x","DOIUrl":null,"url":null,"abstract":"We show that the highly volatile variance risk premium (VRP) can be theoretically and empirically reconciled with investor sentiment captured by temporary variation in risk aversion. In an effort t...","PeriodicalId":45339,"journal":{"name":"Quarterly Journal of Finance","volume":"8 9 1","pages":"2050010"},"PeriodicalIF":0.9000,"publicationDate":"2020-09-09","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":"0","resultStr":"{\"title\":\"The Variation in Variance Risk Premium and its Predictive Power: Evidence from Option Market Sentiments\",\"authors\":\"Y. Chung, Sun‐Joong Yoon\",\"doi\":\"10.1142/s201013922050010x\",\"DOIUrl\":null,\"url\":null,\"abstract\":\"We show that the highly volatile variance risk premium (VRP) can be theoretically and empirically reconciled with investor sentiment captured by temporary variation in risk aversion. In an effort t...\",\"PeriodicalId\":45339,\"journal\":{\"name\":\"Quarterly Journal of Finance\",\"volume\":\"8 9 1\",\"pages\":\"2050010\"},\"PeriodicalIF\":0.9000,\"publicationDate\":\"2020-09-09\",\"publicationTypes\":\"Journal Article\",\"fieldsOfStudy\":null,\"isOpenAccess\":false,\"openAccessPdf\":\"\",\"citationCount\":\"0\",\"resultStr\":null,\"platform\":\"Semanticscholar\",\"paperid\":null,\"PeriodicalName\":\"Quarterly Journal of Finance\",\"FirstCategoryId\":\"91\",\"ListUrlMain\":\"https://doi.org/10.1142/s201013922050010x\",\"RegionNum\":0,\"RegionCategory\":null,\"ArticlePicture\":[],\"TitleCN\":null,\"AbstractTextCN\":null,\"PMCID\":null,\"EPubDate\":\"\",\"PubModel\":\"\",\"JCR\":\"Q3\",\"JCRName\":\"BUSINESS, FINANCE\",\"Score\":null,\"Total\":0}","platform":"Semanticscholar","paperid":null,"PeriodicalName":"Quarterly Journal of Finance","FirstCategoryId":"91","ListUrlMain":"https://doi.org/10.1142/s201013922050010x","RegionNum":0,"RegionCategory":null,"ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":null,"EPubDate":"","PubModel":"","JCR":"Q3","JCRName":"BUSINESS, FINANCE","Score":null,"Total":0}
The Variation in Variance Risk Premium and its Predictive Power: Evidence from Option Market Sentiments
We show that the highly volatile variance risk premium (VRP) can be theoretically and empirically reconciled with investor sentiment captured by temporary variation in risk aversion. In an effort t...
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The Quarterly Journal of Finance publishes high-quality papers in all areas of finance, including corporate finance, asset pricing, financial econometrics, international finance, macro-finance, behavioral finance, banking and financial intermediation, capital markets, risk management and insurance, derivatives, quantitative finance, corporate governance and compensation, investments and entrepreneurial finance.
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