Option-Based Estimation of the Price of Coskewness and Cokurtosis Risk

被引：15
|
作者：
Christoffersen, Peter [4 ,5 ,6 ]
Fournier, Mathieu [1 ]
Jacobs, Kris [2 ]
Karoui, Mehdi [3 ]
机构：
[1] HEC Montreal, Montreal, PQ, Canada
[2] Univ Houston, Houston, TX 77004 USA
[3] Ontario Municipal Employees Retirement Syst OMERS, Toronto, ON, Canada
[4] Univ Toronto, Rotman Sch Management, Toronto, ON, Canada
[5] Copenhagen Business Sch, Copenhagen, Denmark
[6] Aarhus Univ, CREATES, Aarhus, Denmark
来源：
JOURNAL OF FINANCIAL AND QUANTITATIVE ANALYSIS | 2021年 / 56卷 / 01期
关键词：
RARE DISASTERS; CROSS-SECTION; STOCHASTIC VOLATILITY; HIGHER-ORDER; SKEWNESS; PREFERENCE; EQUILIBRIUM; RETURN; KURTOSIS; KERNELS;
D O I：
10.1017/S002210902000023X
中图分类号：
F8 [财政、金融];
学科分类号：
0202 ;
摘要：
We show that the prices of risk for factors that are nonlinear in the market return can be obtained using index option prices. The price of coskewness risk corresponds to the market variance risk premium, and the price of cokurtosis risk corresponds to the market skewness risk premium. Option-based estimates of the prices of risk lead to reasonable values of the associated risk premia. An analysis of factor models with coskewness risk indicates that the new estimates of the price of risk improve the models' performance compared with regression-based estimates.
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页码：65 / 91
页数：27
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