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The cross-sectional variation of volatility risk premia
| dc.creator | González Urteaga, Ana | es_ES |
| dc.creator | Rubio Irigoyen, Gonzalo | es_ES |
| dc.date.accessioned | 2019-09-06T07:11:28Z | |
| dc.date.available | 2019-09-06T07:11:28Z | |
| dc.date.issued | 2016 | |
| dc.identifier.issn | 0304-405X | |
| dc.identifier.uri | https://hdl.handle.net/2454/34753 | |
| dc.description.abstract | 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. | en |
| dc.description.sponsorship | The authors acknowledge financial support from the Ministry of Economics and Competitiveness through Grant ECO2012-34268. In addition, Gonzalo Rubio acknowledges financial support from Generalitat Valenciana Grant PROMETEOII/2013/015, and Ana González-Urteaga acknowledges financial support from the Ministry of Economics and Competitiveness through Grant ECO2012-35946. | en |
| dc.format.extent | 48 p. | |
| dc.format.mimetype | application/pdf | en |
| dc.language.iso | eng | en |
| dc.publisher | Elsevier | en |
| dc.relation.ispartof | Journal of Financial Economics, 119 (2016) 353-370 | en |
| dc.rights | © 2015 Elsevier B.V. The manuscript version is made available under the CC BY-NC-ND 4.0 license. | en |
| dc.rights.uri | http://creativecommons.org/licenses/by-nc-nd/4.0/ | |
| dc.subject | Volatility risk premia | en |
| dc.subject | Stochastic discount factor | en |
| dc.subject | Consumption-based models | en |
| dc.subject | Linear factor models | en |
| dc.subject | Default premium | en |
| dc.title | The cross-sectional variation of volatility risk premia | en |
| dc.type | info:eu-repo/semantics/article | en |
| dc.type | Artículo / Artikulua | es |
| dc.contributor.department | Gestión de Empresas | es_ES |
| dc.contributor.department | Enpresen Kudeaketa | eu |
| dc.rights.accessRights | info:eu-repo/semantics/openAccess | en |
| dc.rights.accessRights | Acceso abierto / Sarbide irekia | es |
| dc.identifier.doi | 10.1016/j.jfineco.2015.09.009 | |
| dc.relation.projectID | info:eu-repo/grantAgreement/MINECO//ECO2012-35946-C02-01/ES/ | en |
| dc.relation.projectID | info:eu-repo/grantAgreement/MINECO//ECO2012-34268/ES/ | en |
| dc.relation.publisherversion | https://doi.org/10.1016/j.jfineco.2015.09.009 | |
| dc.type.version | info:eu-repo/semantics/acceptedVersion | en |
| dc.type.version | Versión aceptada / Onetsi den bertsioa | es |
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La licencia del ítem se describe como © 2015 Elsevier B.V. The manuscript version is made available under the CC BY-NC-ND 4.0 license.
