González Urteaga, Ana

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https://academica-e.unavarra.es/handle/2454/49191

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González Urteaga

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Ana

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Gestión de Empresas

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INARBE. Institute for Advanced Research in Business and Economics

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0000-0002-8256-8518

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88772

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810168

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2016 - 20172
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Author: González Urteaga, Ana × Subject: Volatility risk premia ×

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Now showing 1 - 2 of 2
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    PublicationOpen Access
    The cross-sectional variation of volatility risk premia
    (Elsevier, 2016) González Urteaga, Ana; Rubio Irigoyen, Gonzalo; Gestión de Empresas; Enpresen Kudeaketa
    This paper analyzes the determinants of the cross-sectional variation of the average volatility risk premia for a representative set of portfolios sorted by volatility risk premium beta. The market volatility risk premium and, especially, the default premium are shown to be key risk factors in the cross-sectional variation of average volatility risk premium payoffs. The cross-sectional variation of risk premia seems to reflect a very different behavior of the underlying components of our sample portfolios with respect to credit or financial stress that generates a significant dispersion of the volatility swap pricing of these securities.
  • Thumbnail Image
    PublicationOpen Access
    The joint cross-sectional variation of equity returns and volatilities
    (Elsevier, 2017) González Urteaga, Ana; Rubio Irigoyen, Gonzalo; Gestión de Empresas; Enpresen Kudeaketa
    This paper analyzes the determinants of the simultaneous cross-sectional variation of return and volatility risk premia. Independently of the model specification employed, the estimated risk premium associated with the default premium beta is always positive and statistically different from zero. Moreover, the risk premium of the market volatility risk premium beta is negative and statistically significant. However, both risk factors are priced economically and statistically differently in the volatility and return segments of the market. On average, common factors in both segments explain 90% of the variability of volatility risk premium portfolios, but only 65% of the variability of equity return portfolios.