CRASHES, VOLATILITY, AND THE EQUITY PREMIUM: LESSONS FROM S&P 500 OPTIONS

被引：179

作者：

Santa-Clara, Pedro ^{[1
,2
]}

Yan, Shu ^{[3
]}

机构：

[1] Univ Nova Lisboa, P-1200 Lisbon, Portugal

[2] NBER, Cambridge, MA 02138 USA

[3] Univ S Carolina, Columbia, SC 29208 USA

来源：

REVIEW OF ECONOMICS AND STATISTICS | 2010年 / 92卷 / 02期

关键词：

STOCHASTIC VOLATILITY; STOCK MARKETS; RISK-AVERSION; MODELS; RETURNS; ASSET; JUMP; PRICE; 20TH-CENTURY; PORTFOLIO;

D O I：

10.1162/rest.2010.11549

中图分类号：

F [经济];

学科分类号：

02 ;

摘要：

We use a novel pricing model to imply time series of diffusive volatility and jump intensity from S&P 500 index options. These two measures capture the ex ante risk assessed by investors. Using a simple general equilibrium model, we translate the implied measures of ex ante risk into an ex ante risk premium. The average premium that compensates the investor for the ex ante risks is 70% higher than the premium for realized volatility. The equity premium implied from option prices is shown to significantly predict subsequent stock market returns.

引用

页码：435 / 451

页数：17

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