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Please use this identifier to cite or link to this item: http://ntour.ntou.edu.tw:8080/ir/handle/987654321/52262

Title: Volatility Risk Premium Decomposition of LIFFE Equity Options
Authors: Lin, Bing-Huei
Lin, Yueh-Neng
Chen, Yin-Jung
Contributors: 國立臺灣海洋大學:航運管理學系
Date: 2012
Issue Date: 2019-06-14T08:14:41Z
Publisher: International Review of Economics and Finance
Abstract: Abstract: This study extends Bakshi and Kapadia's (2003b) framework to a multi-factor model to verify the common macro-factors attributed to the price of volatility risk in U.K. equity options. The results point out the presence of a negative risk premium and indicate that both idiosyncratic volatility and macro-factor volatilities arising from shocks to an index of industrial production and unanticipated inflation are priced in the individual LIFFE equity options. The evidence suggests that option investors are willing to pay for hedging against the shocks to those macro-factors and idiosyncratic risk.
Relation: 24 pp.315-326
URI: http://ntour.ntou.edu.tw:8080/ir/handle/987654321/52262
Appears in Collections:[航運管理學系] 期刊論文

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