Volatility Markets Underreacted to the Early Stages of the COVID-19 Pandemic

被引：37
|
作者：
Cheng, Ing-Haw [1 ]
机构：
[1] Dartmouth Coll, Tuck Sch Business, Hanover, NH 03755 USA
来源：
REVIEW OF ASSET PRICING STUDIES | 2020年 / 10卷 / 04期
关键词：
EXPECTED STOCK RETURNS; LIMITS;
D O I：
10.1093/rapstu/raaa010
中图分类号：
F8 [财政、金融];
学科分类号：
0202 ;
摘要：
VIX futures prices rose slowly in late February and early March 2020 as the COVID-19 pandemic took hold. Futures price premiums, defined as futures prices minus real-time statistical forecasts of future VIX values, turned sharply negative and remained negative until mid-April. Trading strategies based on estimated premiums profited from the subsequent increase in market volatility and equity market crash. The underreaction of futures prices to growing pandemic risks poses a puzzle for standard asset pricing models.
引用
收藏
页码：635 / 668
页数：34
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