The Skew Risk Premium in the Equity Index Market

被引：117

作者：

Kozhan, Roman ^{[1
]}

Neuberger, Anthony ^{[2
]}

Schneider, Paul ^{[3
]}

机构：

[1] Univ Warwick, Warwick Business Sch, Coventry CV4 7AL, W Midlands, England

[2] City Univ London, Cass Business Sch, London EC1Y 8TZ, England

[3] Univ Lugano, Inst Finance, Lugano, Switzerland

来源：

REVIEW OF FINANCIAL STUDIES | 2013年 / 26卷 / 09期

关键词：

CROSS-SECTION; IMPLIED VOLATILITY; STOCK RETURNS; DYNAMICS;

D O I：

10.1093/rfs/hht039

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

摘要：

We develop a new method for measuring moment risk premiums. We find that the skew premium accounts for over 40% of the slope in the implied volatility curve in the S&P 500 market. Skew risk is tightly related to variance risk, in the sense that strategies designed to capture the one and hedge out exposure to the other earn an insignificant risk premium. This provides a new testable restriction for asset pricing models trying to capture, in particular, disaster risk premiums. We base our results on a general trading strategy by replicating contracts that swap implied for realized conditional asset moments.

引用

页码：2174 / 2203

页数：30

共 31 条

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