Aggregate Volatility and Market Jump Risk : An Option-Based Explanation to Size and Value Premia
Arisoy, Eser (2014), Aggregate Volatility and Market Jump Risk : An Option-Based Explanation to Size and Value Premia, The Journal of Futures Markets, 34, 1, p. 34–55. 10.1002/fut.21589
TypeArticle accepté pour publication ou publié
External document linkhttps://dx.doi.org/10.2139/ssrn.1343626
Journal nameThe Journal of Futures Markets
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Dauphine Recherches en Management [DRM]
Abstract (EN)It is well-documented that stock returns have different sensitivities to changes in aggregate volatility, however less is known about their sensitivity to market jump risk. By using S&P 500 crash-neutral at-the-money straddle and out-of-money put returns as proxies for aggregate volatility and market jump risk, I document significant differences between volatility and jump loadings of value vs. growth, and small vs. big portfolios. In particular, small (big) and value (growth) portfolios exhibit negative (positive) and significant volatility and jump betas. I also provide further evidence that both volatility and jump risk factors are priced and negative.
Subjects / KeywordsEmpirical Asset Pricing; Beta; Options; Stock Returns; Stocks
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