The Price of Correlation Risk: Evidence from Equity Options

被引：178

作者：

Driessen, Joost ^{[1
]}

Maenhout, Pascal J. ^{[1
]}

Vilkov, Grigory ^{[1
]}

机构：

[1] Univ Amsterdam, NL-1012 WX Amsterdam, Netherlands

来源：

JOURNAL OF FINANCE | 2009年 / 64卷 / 03期

关键词：

IMPLIED VOLATILITY; RETURNS; MODEL; ARBITRAGE; PREMIA; JUMP;

D O I：

10.1111/j.1540-6261.2009.01467.x

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

摘要：

We study whether exposure to marketwide correlation shocks affects expected option returns, using data on S&P100 index options, options on all components, and stock returns. We find evidence of priced correlation risk based on prices of index and individual variance risk. A trading strategy exploiting priced correlation risk generates a high alpha and is attractive for CRRA investors without frictions. Correlation risk exposure explains the cross-section of index and individual option returns well. The correlation risk premium cannot be exploited with realistic trading frictions, providing a limits-to-arbitrage interpretation of our finding of a high price of correlation risk.

引用

页码：1377 / 1406

页数：30

共 59 条

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