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초록
영어
We show that the highly volatile variance risk premium (VRP) can be theoretically and empirically reconciled with investor sentiment captured by temporary variation in risk aversion. In an effort to understand the poor predictive power of the VRP in non-U.S. markets, we propose a new investor sentiment index, the Variance Sentiment index (VSI), obtained from the trading behavior of individual investors. We show that the VSI predicts local return dynamics, in a similar way to what the VRP does in the US market. Moreover, the VSI does not lose its predictive power even in the presence of the global VRP.
목차
Abstract
I. Introduction
II. Variance Risk Premium and Sentiment in the U.S.
II.1 Variance Risk Premium in the US
II.2 Variance Risk Premium and Major Sentiment Indices in the US
II.3. Temporary Variation in Risk Aversion and Variability of VRP: A Theory
III. Variance Risk Premium and Investor Sentiment: Evidence from Active, Non-US Options Markets
III.1. Variance Risk Premium in Active, Non-US Markets
III.2. Relationship between Variance Risk Premium and Sentiment Indices in Active, Non-US Markets
III.3. Variance Sentiment Index and its Predictive Power
III.4. Local Variance Sentiment Index and the Global Variance Risk Premium
IV. Conclusion
References
I. Introduction
II. Variance Risk Premium and Sentiment in the U.S.
II.1 Variance Risk Premium in the US
II.2 Variance Risk Premium and Major Sentiment Indices in the US
II.3. Temporary Variation in Risk Aversion and Variability of VRP: A Theory
III. Variance Risk Premium and Investor Sentiment: Evidence from Active, Non-US Options Markets
III.1. Variance Risk Premium in Active, Non-US Markets
III.2. Relationship between Variance Risk Premium and Sentiment Indices in Active, Non-US Markets
III.3. Variance Sentiment Index and its Predictive Power
III.4. Local Variance Sentiment Index and the Global Variance Risk Premium
IV. Conclusion
References
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