Implied risk aversion and volatility risk premiums

Cited 0 time in webofscience Cited 0 time in scopus
  • Hit : 420
  • Download : 0
DC FieldValueLanguage
dc.contributor.authorYoon, SunJoongko
dc.contributor.authorByun, Suk Joonko
dc.identifier.citationAPPLIED FINANCIAL ECONOMICS, v.22, no.1, pp.59 - 70-
dc.description.abstractSince investor risk aversion determines the premium required for bearing risk, a comparison thereof provides evidence of the different structure of risk premium across markets. This article estimates and compares the degree of risk aversion of three actively traded options markets: the S&P 500, Nikkei 225 and KOSPI 200 options markets. The estimated risk aversions is found to follow S&P 500, Nikkei 225 and KOSPI 200 options in descending order, implying that S&P 500 investors require more compensation than other investors for bearing the same risk. To prove this empirically, we examine the effect of risk aversion on volatility risk premium, using delta-hedged gains. Since more risk-averse investors are willing to pay higher premiums for bearing volatility risk, greater risk averseness can result in a severe negative volatility risk premium, which is usually understood as hedging demands against the underlying asset's downward movement. Our findings support the argument that S&P 500 investors with higher risk aversion pay more premiums for hedging volatility risk. © 2012 Taylor & Francis.-
dc.publisherChapman & Hall-
dc.titleImplied risk aversion and volatility risk premiums-
dc.citation.publicationnameAPPLIED FINANCIAL ECONOMICS-
dc.contributor.localauthorByun, Suk Joon-
dc.contributor.nonIdAuthorYoon, SunJoong-
dc.subject.keywordAuthorKOSPI 200 index options-
dc.subject.keywordAuthorNikkei 225 index options-
dc.subject.keywordAuthorRisk aversion-
dc.subject.keywordAuthorS and P 500 index options-
dc.subject.keywordAuthorVolatility risk premium-
Appears in Collection
MT-Journal Papers(저널논문)
Files in This Item
There are no files associated with this item.


  • mendeley


rss_1.0 rss_2.0 atom_1.0