DRIESSEN, JOOST; MAENHOUT, PASCAL J.; VILKOV, GRIGORY - In: Journal of Finance 64 (2009) 3, pp. 1377-1406
We study whether exposure to marketwide correlation shocks affects expected option returns, using data on S&P100 index options, options on all components, and stock returns. We find evidence of priced correlation risk based on prices of index and individual variance risk. A trading strategy...