Article ID | Journal | Published Year | Pages | File Type |
---|---|---|---|---|
5088315 | Journal of Banking & Finance | 2016 | 12 Pages |
Abstract
We analyze the risk premia embedded in the S&P 500 spot index and option markets. We use a long time-series of spot prices and a large panel of option prices to jointly estimate the diffusive stock risk premium, the price jump risk premium, the diffusive variance risk premium and the variance jump risk premium. The risk premia are statistically and economically significant and move over time. Investigating the economic drivers of the risk premia, we are able to explain up to 63% of these variations.
Related Topics
Social Sciences and Humanities
Economics, Econometrics and Finance
Economics and Econometrics
Authors
Maximilian Neumann, Marcel Prokopczuk, Chardin Wese Simen,