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Does Variance Risk Have Two Prices? Evidence from the Equity and Option Markets

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Bibliographic Details
Other Authors: Malkhozov, Aytek [Other]
Type of Resource: E-Book
Language: English
[S.l.] SSRN [2016]
Source: Verbunddaten SWB
Lizenzfreie Online-Ressourcen
Summary: We formally compare two versions of the market Variance Risk Premium (VRP) measured in the equity and option markets. Both VRPs follow common patterns and respond similarly to changes in volatility and economic conditions. However, we reject the null hypothesis that they are identical and …find that their difference is strongly related to measures of the financial standing of intermediaries. These results shed new light on the information content of the VRP, suggest the presence of market frictions between the two markets, and are consistent with the key role played by intermediaries in setting option prices
Item Description: In: Journal of Financial Economics, Forthcoming
Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments September 14, 2015 erstellt
Physical Description: 1 Online-Ressource (34 p)
DOI: 10.2139/ssrn.2442068
Access: Open Access