Publication: Extracting expected stock risk premia from option prices and the information contained in non-parametric-out-of-sample stochastic discount factors
| dc.contributor.author | González Urteaga, Ana | |
| dc.contributor.author | Nieto, Belén | |
| dc.contributor.author | Rubio Irigoyen, Gonzalo | |
| dc.contributor.department | Enpresen Kudeaketa | eu |
| dc.contributor.department | Institute for Advanced Research in Business and Economics - INARBE | en |
| dc.contributor.department | Gestión de Empresas | es_ES |
| dc.contributor.funder | Universidad Pública de Navarra / Nafarroako Unibertsitate Publikoa | es |
| dc.date.accessioned | 2021-03-15T10:23:38Z | |
| dc.date.available | 2023-04-23T23:00:13Z | |
| dc.date.issued | 2020 | |
| dc.description.abstract | 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 it advisable to avoid using only option prices to extract expected equity risk premia. This set of expected risk premia significantly forecasts 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 significantly explains the cross-sectional variability of expected excess returns. The (asymptotically) different from zero adjusted cross-sectional R-squared statistic is 83.6%. | en |
| dc.description.sponsorship | The authors acknowledge financial support from the Ministry of Science, Innovation and Universities through grant PGC2018-095072-B-I00. In addition, Belén Nieto and Gonzalo Rubio acknowledge financial support from Generalitat Valenciana grant Prometeo/2017/158 and the Bank of Spain, and Ana González-Urteaga acknowledges financial support from the Ministry of Science, Innovation and Universities through grants ECO2016-77631-R (AEI/FEDER.UE) and PID2019-104304GB-I00 and UPNA Research Grant for Young Researchers, Edition 2018. | en |
| dc.embargo.lift | 2023-04-23 | |
| dc.embargo.terms | 2023-04-23 | |
| dc.format.extent | 3 p. | |
| dc.format.mimetype | application/pdf | en |
| dc.identifier.doi | 10.1080/14697688.2020.1813903 | |
| dc.identifier.issn | 1469-7696 (Electronic) | |
| dc.identifier.uri | https://academica-e.unavarra.es/handle/2454/39411 | |
| dc.language.iso | eng | en |
| dc.publisher | Routledge | en |
| dc.relation.ispartof | Quantitative Finance, 2020 | en |
| dc.relation.projectID | info:eu-repo/grantAgreement/ES/1PE/ECO2016-77631-R | en |
| dc.relation.publisherversion | https://doi.org/10.1080/14697688.2020.1813903 | |
| dc.rights.accessRights | info:eu-repo/semantics/openAccess | |
| dc.subject | Exact expected returns | en |
| dc.subject | Risk-neutral variance | en |
| dc.subject | Out-of-sample stochastic discount factor | en |
| dc.subject | Cross-section of expected returns | en |
| dc.title | Extracting expected stock risk premia from option prices and the information contained in non-parametric-out-of-sample stochastic discount factors | en |
| dc.type | info:eu-repo/semantics/article | |
| dc.type.version | info:eu-repo/semantics/acceptedVersion | en |
| dc.type.version | Versión aceptada / Onetsi den bertsioa | es |
| dspace.entity.type | Publication | |
| relation.isAuthorOfPublication | 095d724d-61c5-408c-b091-6ea37e9beb6b | |
| relation.isAuthorOfPublication.latestForDiscovery | 095d724d-61c5-408c-b091-6ea37e9beb6b |