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Pricing of idiosyncratic equity and variance risks

Gourier, Elise - 2016

This paper decomposes the risk premia of individual stocks into contributions from systematic and idiosyncratic risks … 80% of the equity and variance risk premia, respectively. I provide a categorization of sectors based on the risk profile …

Persistent link: https://www.econbiz.de/10011410917

How does the market variance risk premium vary over time? : evidence from S&P 500 variance swap investment returns

Konstantinidi, Eirini; Skiadopoulos, George - 2014

We explore whether the market variance risk premium (VRP) can be predicted. First, we propose a novel approach to … maturities and investment horizons and they are economically significant. Volatility trading strategies which condition on the …

Persistent link: https://www.econbiz.de/10010472838

Inferring volatility dynamics and risk premia from the S&P 500 and VIX markets

Bardgett, Chris; Gourier, Elise; Leippold, Markus - 2016

risk-neutral distributions as well as the term structure of volatility smiles and of variance risk premia. We find that the …This paper studies the information content of the S&P 500 and VIX markets on the volatility of the S&P 500 returns. We …

Persistent link: https://www.econbiz.de/10011410916

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

Equity market volatility and expected risk premium

Chen, Long (contributor); Guo, Hui (contributor); … - 2006

Persistent link: https://www.econbiz.de/10003739618

Modeling conditional factor risk premia implied by index option returns

Fournier, Mathieu; Jacobs, Kris; Orłowski, Piotr - 2021

Persistent link: https://www.econbiz.de/10013328240

Ambiguity and the historical equity premium

Collard, Fabrice; Mukerji, Sujoy; Sheppard, Kevin; … - 2017

dividends next period as ambiguous. We calibrate the agent's ambiguity aversion to match only the first moment of the risk …

Persistent link: https://www.econbiz.de/10011756113

Permanent primary deficits, idiosyncratic long-run risk, and growth

Amol, Amol; Luttmer, Erzo Gerrit Jan - 2022

Persistent link: https://www.econbiz.de/10013455327

Application of volatility-managed portfolios in the context of a volatility index

Subramanian, Abhishek; Kayal, Parthajit - 2023

Persistent link: https://www.econbiz.de/10014375126

Uncertainty and stock returns in energy markets: a quantile regression approach

Cedic, Samir; Mahmoud, Alwan; Manera, Matteo; Uddin, … - 2021

The aim of this paper is to analyze the relationship between different types of uncertainty and stock returns of the renewable energy and the oil & gas sectors. We use the quantile regression approach developed by Koenker and d'Orey (1987; 1994) to assess which uncertainties are the potential...

Persistent link: https://www.econbiz.de/10012510024