Higher-Moment风险

N. J. Gormsen, C. Jensen
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引用次数: 24

摘要

本文用一种新的方法从期权价格估计股票市场收益的事前高阶矩。偶数和奇数高阶矩是强烈负相关的,创造了回报分布风险更大的时期,因为它更左偏和肥尾。在方差较低、价格较高的好时机,高时刻风险增加。这种时间变化与基于灾害的模型不一致,在这些模型中,灾害风险以及更高时刻的风险在糟糕时期达到峰值。高时刻风险的变化对投资者也有重要的影响,因为它导致市场投资组合出现三西格玛损失的概率在样本中从0.7%到1.9%不等,在平静时期达到峰值,比如金融危机爆发之前。
本文章由计算机程序翻译,如有差异,请以英文原文为准。
Higher-Moment Risk
We use a new method to estimate ex ante higher order moments of stock market returns from option prices. Even and odd number higher order moments are strongly negatively correlated, creating periods where the return distribution is riskier because it is more left-skewed and fat tailed. The higher-moment risk increases in good times when variance is lower and prices are higher. This time variation is inconsistent with disaster-based models where disaster risk, and thus higher-moment risk, peaks in bad times. The variation in higher-moment risk also has important implications for investors as it causes the probability of a three-sigma loss on the market portfolio to vary from 0.7% to 1.9% percent over the sample, peaking in calm periods such as just before the onset of the financial crisis.
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