The VIX Premium

Ex-ante estimates of the volatility premium embedded in VIX futures, known as the VIX premium, fall or stay flat when ex-ante measures of risk rise. This is not an artifact of mismeasurement: 1) Ex-ante premiums reliably predict ex-post returns to VIX futures with a coefficient near one, and 2) Falling ex-ante premiums predict increasing ex-post market and investment risk, creating profitable trading opportunities. Falling hedging demand helps explain this behavior, as premiums and trader exposures tend to fall together when risk rises. These facts provide a puzzle for theories of why investors hedge volatility

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Year of publication:	2018
Authors:	Cheng, Ing-Haw
Publisher:	[2018]: [S.l.] : SSRN
Subject:	Volatilität \| Volatility \| Hedging \| Futures \| Risiko \| Risk \| Risikoprämie \| Risk premium

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Extent:	1 Online-Ressource (57 p)
Type of publication:	Book / Working Paper
Language:	English
Notes:	In: Review of Financial Studies, Forthcoming Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments May 15, 2018 erstellt
Other identifiers:	10.2139/ssrn.2495414 [DOI]
Classification:	G11 - Portfolio Choice ; G12 - Asset Pricing ; G13 - Contingent Pricing; Futures Pricing
Source:	ECONIS - Online Catalogue of the ZBW

Persistent link: https://www.econbiz.de/10012937777