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- W2617294574 abstract "We study jump variance risk as a pricing factor by jointly examining both stock and option market. We develop an option pricing model with jump variance dynamics and a non-monotonic pricing kernel featuring jump variance risk premium. The model is sufficiently tractable and improves in fitting index options from 1996 to 2015. The model-derived jump variance risk premium has predictive power for future market returns up to twelve months, with economic significance on par with dividend-to-price ratio. In the cross-section, heterogeneity in exposures to jump variance risk leads to a 5.6% difference in risk-adjusted returns annually." @default.
- W2617294574 created "2017-06-05" @default.
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- W2617294574 date "2017-01-01" @default.
- W2617294574 modified "2023-09-24" @default.
- W2617294574 title "Jump Variance Risk: Evidence from Option Valuation and Stock Returns" @default.
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- W2617294574 doi "https://doi.org/10.2139/ssrn.2934077" @default.
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