No image available for this title

Text

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 NumberLocationAvailable
JOF6606PSB lt.dasar - Pascasarjana1
Penerbit Wiley Periodicals.,
Edisi -
Subjek Investments
Stock options
Prices
Mathematical models
Finance
Options (Finance)
Behavioral Economics
Rate of return
Stochastic processes
Risk premiums
Stocks (finance)
Individual investors
ISBN/ISSN 221082
Klasifikasi -
Deskripsi Fisik -
Info Detail Spesifik -
Other Version/Related Tidak tersedia versi lain
Lampiran Berkas Tidak Ada Data