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Broker-dealer risk appetite and commodity returns
Etula, Erkko M. - 2010 - Rev.
This paper shows that the risk-bearing capacity of U.S. securities brokers and dealers is a strong determinant of risk premia in commodity markets. Commodity derivatives are the principal instrument used by producers and consumers of commodities to hedge against commodity price risk....
Persistent link: https://www.econbiz.de/10003947918
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The price of the smile and variance risk premia
Gruber, Peter H.; Tebaldi, Claudio; Trojani, Fabio - 2015 - This version: September 8, 2015
In a tractable stochastic volatility model, we identify the price of the smile as the price of the unspanned risks … traded in SPX option markets. The price of the smile reflects two persistent volatility and skewness risks, which imply a …-form and structural models of stochastic volatility …
Persistent link: https://www.econbiz.de/10011412294
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The Cross-Sectional Relation between Conditional Heteroskedasticity, the Implied Volatility Smile, and the Variance Risk Premium
Ederington, Louis H. - 2013
This paper estimates how the shape of the implied volatility smile and the size of the variance risk premium relate to … parameters of GARCH-type time-series models measuring how conditional volatility responds to return shocks. Markets in which … return shocks lead to large increases in conditional volatility tend to have larger variance risk premia than markets in …
Persistent link: https://www.econbiz.de/10013081387
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Understanding Short and Long-Run Risk Premia
Buraschi, Andrea - 2013
This paper studies the predictability of S&P500 returns using short term risk premia as a conditioning variable. We construct dividend prices using futures data and identify short term risk premia by projecting excess returns of dividend claims on their lagged prices. Regression results for...
Persistent link: https://www.econbiz.de/10013091355
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Pricing of Volatility Risk in REITs
DeLisle, Jared - 2013
We examine the pricing of volatility risk in the cross-section of equity Real Estate Investment Trust (REIT) stock … returns over the 1996 – 2010 period. We consider both aggregate (systematic) volatility and firm-specific (idiosyncratic …) volatility. In contrast to the negative and significant price of systematic volatility risk for Non-REIT equities, we find that …
Persistent link: https://www.econbiz.de/10013092294
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"Up" and "Down" Levy Jumps and Market Risk Premia Implications from S&P500 Options
Carverhill, Andrew P. - 2020
We model the S&P500 index options dynamics using the CGMY distribution, with independent "up" and "down" return jumps, and diffusive jump intensities. Allowing the up and down parts to be separately parameterised accounts for the dynamic smirk effect, without correlation between returns and...
Persistent link: https://www.econbiz.de/10012837432
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The Skew Risk Premium in the Equity Index Market
Kozhan, Roman - 2019
skew swaps be used to explore the relationship between the skew in implied volatility and realized skew. Like the variance … almost half of the implied volatility skew can be explained by the skew risk premium. We provide evidence that skew and …
Persistent link: https://www.econbiz.de/10012906107
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Risk Premia and the VIX Term Structure
Johnson, Travis L. - 2018
The shape of the VIX term structure conveys information about the price of variance risk rather than expected changes in the VIX, a rejection of the expectations hypothesis. A single principal component, Slope, summarizes nearly all this information, predicting the excess returns of S&P 500...
Persistent link: https://www.econbiz.de/10012937549
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Broker-Dealer Risk Appetite and Commodity Returns
Etula, Erkko - 2020
This paper shows that the risk-bearing capacity of U.S. securities brokers and dealers is a strong determinant of risk premia in commodity markets. Commodity derivatives are the principal instrument used by producers and consumers of commodities to hedge against commodity price risk....
Persistent link: https://www.econbiz.de/10012857609
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Modeling Conditional Factor Risk Premia Implied by Index Option Returns
Fournier, Mathieu; Jacobs, Kris; Orłowski, Piotr - 2021
We propose a novel factor model for option returns. Option exposures are estimated nonparametrically and factor risk premia can vary nonlinearly with states. The model is estimated using regressions, with minimal assumptions on factor and option return dynamics. Using index options, we...
Persistent link: https://www.econbiz.de/10013213854