International crash risk premium

IF 5.4 2区 经济学 Q1 BUSINESS, FINANCE
Steven Shu-Hsiu Chen
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引用次数: 0

Abstract

This paper investigates the international crash risk and the cross-section of stock index returns. We use the ex-ante model-free negative skewness measured by country-specific index options, proposed in Bakshi et al. (2003), as a proxy of the crash risk. We find that a country’s stock index with a high crash risk relates to a higher stock return as a risk premium across countries. The international crash risk premium exists robustly after controlling for volatility risk, macroeconomic variables, sensitivities to the international risk factors, and realized return moments. In contrast, other international risk premiums do not exist based on the exposure of such control variables. Based on the crash risk premium, we construct international stock trading strategies by sorting option-implied skewness across countries that outperform benchmark strategies by sorting the above control variables.

国际碰撞风险溢价
本文研究了国际股灾风险和股指收益的横截面。我们使用 Bakshi 等人(2003 年)提出的由特定国家指数期权衡量的事前无模型负偏度作为股灾风险的替代指标。我们发现,股灾风险高的国家的股票指数与较高的股票回报率相关,这就是各国间的风险溢价。在控制了波动风险、宏观经济变量、对国际风险因素的敏感性以及已实现收益矩之后,国际股灾风险溢价仍然稳健存在。相比之下,其他国际风险溢价并不存在于这些控制变量的影响范围内。基于股灾风险溢价,我们通过对各国期权引伸偏度进行排序,构建了国际股票交易策略,通过对上述控制变量进行排序,这些策略的表现优于基准策略。
本文章由计算机程序翻译,如有差异,请以英文原文为准。
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来源期刊
CiteScore
6.60
自引率
10.00%
发文量
142
期刊介绍: International trade, financing and investments, and the related cash and credit transactions, have grown at an extremely rapid pace in recent years. The international monetary system has continued to evolve to accommodate the need for foreign-currency denominated transactions and in the process has provided opportunities for its ongoing observation and study. The purpose of the Journal of International Financial Markets, Institutions & Money is to publish rigorous, original articles dealing with the international aspects of financial markets, institutions and money. Theoretical/conceptual and empirical papers providing meaningful insights into the subject areas will be considered. The following topic areas, although not exhaustive, are representative of the coverage in this Journal. • International financial markets • International securities markets • Foreign exchange markets • Eurocurrency markets • International syndications • Term structures of Eurocurrency rates • Determination of exchange rates • Information, speculation and parity • Forward rates and swaps • International payment mechanisms • International commercial banking; • International investment banking • Central bank intervention • International monetary systems • Balance of payments.
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