Por favor, use este identificador para citar o enlazar este ítem: http://hdl.handle.net/10637/10689
Título : Extracting expected stock risk premia from option prices, and the information contained in non-parametric-out-of-sample stochastic discount factors
Autor : González Urteaga, Ana.
Nieto Doménech, Belén Adoración.
Rubio Irigoyen, Gonzalo.
Materias: Opciones (Finanzas)Riesgo (Economía)Options (Finance)Capital riesgo.Private equity.Risk.
Fecha de publicación : 5-jun-2019
Citación : González-Urteaga, A., Nieto, B. & Rubio, G. (2019). Extracting expected stock risk premia from option prices, and the information contained in non-parametric-out-of-sample stochastic discount factors.
Resumen : This paper analyzes the factor structure and cross-sectional variability of a set of expected excess returns extracted from option prices and a non-parametric and out-of-sample stochastic discount factor. We argue that the existing potential segmentation between the equity and option markets makes advisable to avoid using only option prices to extract expected equity risk premia. This set of expected risk premia forecast significantly future realized returns, and the first two principal components explain 94.1% of the variability of expected returns. A multi-factor model with the market, quality, funding illiquidity, the default premium and the market-wide variance risk premium as factors explain significantly the cross-sectional variability of expected excess returns. The (asymptotically) different from zero adjusted cross-sectional R-squared statistic is 83.6%.
Descripción : La versión de este documento de trabajo corresponde al 5 de junio de 2019.
URI : http://hdl.handle.net/10637/10689
Derechos: http://creativecommons.org/licenses/by-nc-nd/4.0/deed.es
Aparece en las colecciones: Dpto. Economía y Empresa

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