Idiosyncratic Jump Risk Matters: Evidence from Equity Returns and Options

被引:33
|
作者
Begin, Jean-Francois [1 ]
Dorion, Christian [2 ]
Gauthier, Genevieve [2 ]
机构
[1] Simon Fraser Univ, Burnaby, BC, Canada
[2] HEC Montreal, Montreal, PQ, Canada
来源
REVIEW OF FINANCIAL STUDIES | 2020年 / 33卷 / 01期
基金
加拿大自然科学与工程研究理事会;
关键词
CROSS-SECTION; STOCHASTIC VOLATILITY; STOCK RETURNS; MARKET EQUILIBRIUM; PREMIUMS EVIDENCE; GARCH MODEL; VALUATION; SKEWNESS; ARBITRAGE; PRICES;
D O I
10.1093/rfs/hhz043
中图分类号
F8 [财政、金融];
学科分类号
0202 ;
摘要
The recent literature provides conflicting empirical evidence about the pricing of idiosyncratic risk. This paper sheds new light on the matter by exploiting the richness of option data. First, we find that idiosyncratic risk explains 28% of the variation in the risk premium on a stock. Second, we show that the contribution of idiosyncratic risk to the equity premium arises exclusively from jump risk. Third, we document that the commonality in idiosyncratic tail risk is much stronger than that in total idiosyncratic risk documented in the literature. Tail risk thus plays a central role in the pricing of idiosyncratic risk.
引用
收藏
页码:155 / 211
页数:57
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