Brown bag seminar with Aytek Malkhozov, McGill University

Brown Bag Seminar with Aytek Malkhozov, McGill University: Variance Risk Premium Dynamics in Equity and Option Markets

 
Friday, February 28, 2014 - 12:00 to 12:45

The Department of Finance is happy to announce the upcoming Brown Bag Seminar with Aytek Malkhozov, McGill University.

Aytek Malkhozov will present: 

Variance Risk Premium Dynamics in Equity and Option Markets

 

Authors:

Aytek Malkhozov
Laurent Barras

Abstract:

Aggregate stock-market variance is a risk factor for the cross-section of individual stock returns. We use this fact to estimate the path of the risk premium associated with the variance factor between 1970 and 2012. We find that both its average level and dynamics are overall in line with variance risk premium implied by prices of index options available for the later part of the sample. We also document periods where the equity- and option-implied premia diverge, and find that their difference can be explained by proxies for broker-dealers capacity to take on risk and supply options.

 

Location:

Solbjerg Plads 3, 2000 Frederiksberg

D4.20

The page was last edited by: Department of Finance // 02/14/2014