https://scholars.lib.ntu.edu.tw/handle/123456789/414955
標題: | Jump variance risk: Evidence from option valuation and stock returns | 作者: | Hsuan‐Ling Chang YEN-CHENG CHANG Hung‐Wen Cheng Po‐Hsiang Peng CHUN-KAI TSENG |
公開日期: | 六月-2019 | 卷: | 39 | 期: | 7 | 起(迄)頁: | 890-915 | 來源出版物: | Journal of Futures Markets | 摘要: | 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 nonmonotonic pricing kernel featuring jump variance risk premium. The model yields a closed‐form option pricing formula and improves in fitting index options from 1996 to 2015. The model‐implied jump variance risk premium has predictive power for future market returns. In the cross‐section, heterogeneity in exposures to jump variance risk leads to a 6% difference in risk‐adjusted returns annually. |
URI: | https://scholars.lib.ntu.edu.tw/handle/123456789/414955 | DOI: | 10.1002/fut.22009 |
顯示於: | 財務金融學系 |
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