The Market Price of Risk of the Variance Term Structure

IF 0.4 4区经济学 Q4 BUSINESS, FINANCE

Journal of Derivatives Pub Date : 2011-04-05 DOI:10.2139/ssrn.1469585

George Dotsis

引用次数: 4

Abstract

In this paper I examine the market price of risk of the variance term structure. To this end, the S&P 500 option implied variance term structure is used as a proxy for aggregate variance risk. Principal component analysis shows that time variation in the variance term structure over the 1996–2012 period can be explained mainly by two factors which capture changes in the level and slope. The market price of risk of each factor is estimated in the cross-section of stock returns. The slope of the variance term structure is the most significant factor in the cross-section of stocks returns and carries a negative risk premium. The slope factor has also some predictive ability over long horizon equity returns.

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方差期限结构风险的市场价格

本文研究了方差期限结构风险的市场价格。为此，标准普尔500期权隐含方差期限结构被用作总方差风险的代理。主成分分析表明，1996-2012年期间方差期限结构的时间变化主要由两个因子来解释，这两个因子捕获了水平和斜率的变化。在股票收益的横截面中估计每个因素的风险的市场价格。方差期限结构的斜率是股票收益横截面上最重要的因素，其风险溢价为负。斜率因子对长期股票收益也有一定的预测能力。

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

Journal of Derivatives Economics, Econometrics and Finance-Economics and Econometrics

CiteScore

1.30

自引率

14.30%

发文量

期刊介绍： The Journal of Derivatives (JOD) is the leading analytical journal on derivatives, providing detailed analyses of theoretical models and how they are used in practice. JOD gives you results-oriented analysis and provides full treatment of mathematical and statistical information on derivatives products and techniques. JOD includes articles about: •The latest valuation and hedging models for derivative instruments and securities •New tools and models for financial risk management •How to apply academic derivatives theory and research to real-world problems •Illustration and rigorous analysis of key innovations in derivative securities and derivative markets