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

页码：635 / 668

页数：34

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