淡江大學機構典藏:Item 987654321/119658
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    Please use this identifier to cite or link to this item: https://tkuir.lib.tku.edu.tw/dspace/handle/987654321/119658


    Title: Jump variance risk: Evidence from option valuation and stock returns
    Authors: Chang, Hsuan-Ling;Chang, Yen‐Cheng;Cheng, Hung‐Wen;Peng, Po‐Hsiang;Tseng, Kevin
    Keywords: jump variance risk;nonmonotonic pricing kernel;option valuation;return predictability
    Date: 2017-09-15
    Issue Date: 2020-11-25 12:11:31 (UTC+8)
    Abstract: We study jump variance risk by jointly examining both stock and option markets. We develop a GARCH option pricing model with jump variance dynamics and a nonmonotonic pricing kernel featuring jump variance risk premium. The model yields a closed‐form option pricing formula and improves in fitting index options from 1996 to 2015. The model‐implied jump variance risk premium has predictive power for future market returns. In the cross‐section, heterogeneity in exposures to jump variance risk leads to a 6% difference in risk‐adjusted returns annually.
    Appears in Collections:[Graduate Institute & Department of Banking and Finance] Proceeding

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