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Jump Variance Risk : Evidence from Option Valuation and Stock Returns

Chang, Hsuan-Ling - 2019

We study jump variance risk by jointly examining both stock and option markets. We develop a GARCH option pricing model with jump variance dynamics and a non-monotonic pricing kernel featuring jump variance risk premium. The model yields a closed-form option pricing formula and improves in...

Persistent link: https://www.econbiz.de/10012902142

Good Jumps, Bad Jumps, and Conditional Equity Premium

Guo, Hui - 2019

consistent with an asset pricing model allowing for both time-varying jump intensity and stochastic volatility of volatility to …

Persistent link: https://www.econbiz.de/10012904660

Oil Volatility Risk and Expected Stock Returns

Christoffersen, Peter F. - 2014

After the financialization of commodity futures markets in 2004-05 oil volatility has become a strong predictor of … returns and volatility of the overall stock market. Furthermore, stocks' exposure to oil volatility risk now drives the cross … to oil volatility is significant at 0.66% per month, and oil volatility risk carries a significant risk premium of -0 …

Persistent link: https://www.econbiz.de/10013058330

Bond variance risk premia

Mueller, Philippe; Vedolin, Andrea; Yen, Yu-min - 2012

Persistent link: https://www.econbiz.de/10009552228

The contribution of frictions to expected returns

Hirakiy, Kazuhiro; Skiadopoulos, George - 2018

We derive a model-free option-based formula to estimate the contribution of market frictions to expected returns (CFER) within an asset pricing setting. We estimate CFER for the U.S. optionable stocks. We document that CFER is sizable, it predicts stock returns and it subsumes the effect of...

Persistent link: https://www.econbiz.de/10011932555

Examining the sources of excess return predictability : stochastic volatility or market inefficiency?

Lansing, Kevin J.; LeRoy, Stephen F.; Ma, Jun - 2018

Persistent link: https://www.econbiz.de/10011977460

Time-Varying Inflation Risk and Stock Returns

Boons, Martijn - 2019

We show that inflation risk is priced in stock returns and that inflation risk premia in the cross-section and the aggregate market vary over time, even changing sign as in the early 2000s. This time variation is due to both price and quantities of inflation risk changing over time. Using a...

Persistent link: https://www.econbiz.de/10012905328

Long-term stock returns in Brazil : volatile equity returns for U.S.-like investors

Araujo, Eurilton; Brito, Ricardo D.; Sanvicente, Antonion Z. - 2020 - This version: March 30th, 2020

Persistent link: https://www.econbiz.de/10012243420

Long-term stock returns in Brazil: volatile equity returns for U.S.-like investors

Araujo, Eurilton; Brito, Ricardo D.; Sanvicente, … - 2020

Persistent link: https://www.econbiz.de/10012404296

Extreme Downside Risk in the Cross-Section of Asset Returns

Ergun, Lerby Murat - 2023

This paper considers an extension to Ang et al.’s (2006) non-linear downside beta framework. The extreme downside risk extension counts the extreme negative stock returns conditional on the market return being extremely negative. The extension is used in double-sorted portfolios, where I...

Persistent link: https://www.econbiz.de/10014257425