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Is Volatility Risk Priced in the Securities Market ? Evidence from S&P 500 Index Options

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dc.contributor.authorArisoy, Eser*
hal.structure.identifier
dc.contributor.authorAltay-Salih, Aslihan*
hal.structure.identifier
dc.contributor.authorAkdeniz, Levent*
dc.date.accessioned2012-09-26T13:45:32Z
dc.date.available2012-09-26T13:45:32Z
dc.date.issued2007
dc.identifier.urihttps://basepub.dauphine.fr/handle/123456789/10226
dc.language.isoenen
dc.subjectSaving and investmenten
dc.subjectRisk managementen
dc.subjectEmpirical Asset Pricingen
dc.subjectOptions
dc.subjectSecurities
dc.subject.ddc332en
dc.subject.classificationjelG32en
dc.subject.classificationjelG24en
dc.subject.classificationjelG11
dc.subject.classificationjelG12
dc.titleIs Volatility Risk Priced in the Securities Market ? Evidence from S&P 500 Index Optionsen
dc.typeArticle accepté pour publication ou publié
dc.contributor.editoruniversityotherBilkent University;Turquie
dc.description.abstractenThe authors examine whether volatility risk is a priced risk factor in securities returns. Zero-beta at-the-money straddle returns of the S&P 500 index are used to measure volatility risk. It is demonstrated that volatility risk captures time variation in the stochastic discount factor. The results suggest that straddle returns are important conditioning variables in asset pricing, and investors use straddle returns when forming their expectations about securities returns. One interesting finding is that different classes of firms react differently to volatility risk. For example, small firms and value firms have negative and significant volatility coefficients, whereas big firms and growth firms have positive and significant volatility coefficients during high volatility periods, indicating that investors see these latter firms as hedges against volatile states of the economy. Overall, these findings have important implications for portfolio formation, risk management, and hedging strategies.en
dc.relation.isversionofjnlnameThe Journal of Futures Markets
dc.relation.isversionofjnlvol27en
dc.relation.isversionofjnlissue7en
dc.relation.isversionofjnldate2007
dc.relation.isversionofjnlpages617-642en
dc.relation.isversionofdoihttp://dx.doi.org/10.1002/fut.20242en
dc.subject.ddclabelEconomie financièreen
dc.relation.forthcomingnonen
dc.relation.forthcomingprintnonen
hal.author.functionaut
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