The Variation in Variance Risk Premium and its Predictive Power: Evidence from Option Market Sentiments

IF 0.9 Q3 BUSINESS, FINANCE

Quarterly Journal of Finance Pub Date : 2020-09-09 DOI:10.1142/s201013922050010x

Y. Chung, Sun‐Joong Yoon

引用次数: 0

Abstract

We show that the highly volatile variance risk premium (VRP) can be theoretically and empirically reconciled with investor sentiment captured by temporary variation in risk aversion. In an effort t...

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方差风险溢价的变化及其预测能力:来自期权市场情绪的证据

我们表明，高度波动的方差风险溢价(VRP)可以在理论上和经验上与风险厌恶的临时变化所捕获的投资者情绪相协调。为了……

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来源期刊

Quarterly Journal of Finance BUSINESS, FINANCE-

CiteScore

1.10

自引率

0.00%

发文量

期刊介绍： The Quarterly Journal of Finance publishes high-quality papers in all areas of finance, including corporate finance, asset pricing, financial econometrics, international finance, macro-finance, behavioral finance, banking and financial intermediation, capital markets, risk management and insurance, derivatives, quantitative finance, corporate governance and compensation, investments and entrepreneurial finance.