Tails, fears, and risk premia

---

We show that the compensation for rare events accounts for a large fraction of the average equity and variance risk premia. Exploiting the special structure of the jump tails and the pricing thereof, we identify and estimate a new Investor Fears index. The index reveals large time-varying compensation for fears of disasters. Our empirical investigations involve new extreme value theory approximations and high-frequency intraday data for estimating the expected jump tails under the statistical probability measure, and short maturity out-of-the-money options and new model-free implied variation measures for estimating the corresponding risk-neutral expectations..Printed journal

---

Ketersediaan

Call Number	Location	Available
JOF6606	PSB lt.dasar - Pascasarjana	1

Informasi Detail

Judul Seri

-

No. Panggil

JOF6606

Penerbit

: Wiley Periodicals.,

Deskripsi Fisik

-

Bahasa

ISBN/ISSN

221082

Klasifikasi

-

Tipe Isi

-

Tipe Media

-

Tipe Pembawa

-

Edisi

-

Subjek

Investments
Stock options
Prices
Mathematical models
Finance
Options (Finance)
Behavioral Economics
Rate of return
Stochastic processes
Risk premiums
Stocks (finance)
Individual investors

Info Detail Spesifik

-

Pernyataan Tanggungjawab

pa

Versi lain/terkait

Lampiran Berkas

Komentar

---

Anda harus masuk sebelum memberikan komentar