Financial Valuation and Risk Management Working Paper No . 712 Variance Risk , Financial Intermediation , and the Cross-Section of Expected Option Returns
Financial Valuation and Risk Management Working Paper No . 712 Variance Risk , Financial Intermediation , and the Cross-Section of Expected Option Returns
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财务估值和风险管理工作文件第 1 号
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发表时间：
2011
期刊：
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通讯作者：
Alexandre Ziegler
中科院分区：
文献类型：
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作者：
N. Schürhoff;Alexandre Ziegler
我们通过将股票的总方差分解为系统收益方差和特殊收益方差来探索方差风险的定价。虽然系统性方差风险表现出负风险价格，但对特殊收益方差的常见冲击却带来了巨大的正风险溢价。这意味着投资者要为系统性（异质）方差的增加（下降）买单，即使这两种方差都是逆周期变化的。常见的异质方差风险是预期期权收益横截面的重要决定因素。这些发现协调了多种现象，包括指数和股票期权之间的定价差异、股票期权昂贵的横截面变化、波动性错误定价之谜以及各种期权投资组合策略获得的显着回报。我们的结果与资本约束下的金融中介理论是一致的。
We explore the pricing of variance risk by decomposing stocks’ total variance into systematic and idiosyncratic return variances. While systematic variance risk exhibits a negative price of risk, common shocks to the variances of idiosyncratic returns carry a large positive risk premium. This implies investors pay for insurance against increases (declines) in systematic (idiosyncratic) variance, even though both variances comove countercyclically. Common idiosyncratic variance risk is an important determinant for the cross-section of expected option returns. These findings reconcile several phenomena, including the pricing differences between index and stock options, the cross-sectional variation in stock option expensiveness, the volatility mispricing puzzle, and the significant returns earned on various option portfolio strategies. Our results are consistent with theories of financial intermediation under capital constraints.