DC Field | Value | Language |
---|---|---|
dc.contributor.author | Yoon, SunJoong | ko |
dc.contributor.author | Byun, Suk Joon | ko |
dc.date.accessioned | 2013-04-29 | - |
dc.date.available | 2013-04-29 | - |
dc.date.created | 2013-04-01 | - |
dc.date.created | 2013-04-01 | - |
dc.date.issued | 2012-01 | - |
dc.identifier.citation | APPLIED FINANCIAL ECONOMICS, v.22, no.1, pp.59 - 70 | - |
dc.identifier.issn | 0960-3107 | - |
dc.identifier.uri | http://hdl.handle.net/10203/173603 | - |
dc.description.abstract | Since 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.language | English | - |
dc.publisher | Chapman & Hall | - |
dc.title | Implied risk aversion and volatility risk premiums | - |
dc.type | Article | - |
dc.identifier.scopusid | 2-s2.0-80053257948 | - |
dc.type.rims | ART | - |
dc.citation.volume | 22 | - |
dc.citation.issue | 1 | - |
dc.citation.beginningpage | 59 | - |
dc.citation.endingpage | 70 | - |
dc.citation.publicationname | APPLIED FINANCIAL ECONOMICS | - |
dc.contributor.localauthor | Byun, Suk Joon | - |
dc.contributor.nonIdAuthor | Yoon, SunJoong | - |
dc.subject.keywordAuthor | KOSPI 200 index options | - |
dc.subject.keywordAuthor | Nikkei 225 index options | - |
dc.subject.keywordAuthor | Risk aversion | - |
dc.subject.keywordAuthor | S and P 500 index options | - |
dc.subject.keywordAuthor | Volatility risk premium | - |
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