How does the market variance risk premium vary over time? (JB&F, 2016) [推广有奖]

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DuShu16 发表于 2016-10-18 02:52:08 |AI写论文

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此篇论文发表在2016年Journal of Banking & Finance上。作者尝试多种途径来预测S＆P500市场差异风险溢价。作者发现trading activity模型有着较好的预测能力。

Abstract

We explore whether the market variance risk premium (VRP) can be predicted. We measure VRP by distinguishing the investment horizon from the variance swap’s maturity. We extract VRP from actual S&P 500 variance swap quotes and we test four classes of predictive models. We find that the best performing model is the one that conditions on trading activity. This relation is also economically significant. Volatility trading strategies which condition on trading activity outperform popular benchmark strategies, even once we consider transaction costs. Our finding implies that broker dealers command a greater VRP to continue holding short positions in index options in the case where trading conditions deteriorate.