Recovering Risk Aversion from Option Prices and Realized Returns

Kurzanzeige
dc.contributor.authorJackwerth, Jens
dc.date.accessioned2011-03-25T09:40:23Zdeu
dc.date.available2011-03-25T09:40:23Zdeu
dc.date.issued2000deu
dc.description.abstractA relationship exists between aggregate risk-neutral and subjective probaility distributions and risk aversion functions. We empirically derive risk aversion functions implied by option prices and realized returns on the S&P 500 index simultaneously. These risk aversion functions dramatically change shapes around the 1987 crash: Precrash, they are positive and decreasing in wealth and largely consistent with standard assumptions made in economic theory. Postcrash, they are partially negative and partially increasing and irreconcilable with those assumptions. Mispricing in the option market is the most likely cause. Simulated trading strategies exploiting the mispricing show excess returns, even after accounting for the possibility of further crashes, transaction costs, and hedges against the downside risk.eng
dc.description.versionpublished
dc.format.mimetypeapplication/pdfdeu
dc.identifier.citationFirst publ. in: Review of Financial Studies 13 (2000), 2, pp. 433-451deu
dc.identifier.ppn27903797Xdeu
dc.identifier.urihttp://kops.uni-konstanz.de/handle/123456789/11806
dc.language.isoengdeu
dc.legacy.dateIssued2008deu
dc.rightsAttribution-NonCommercial-NoDerivs 2.0 Generic
dc.rights.urihttp://creativecommons.org/licenses/by-nc-nd/2.0/
dc.subject.ddc330deu
dc.titleRecovering Risk Aversion from Option Prices and Realized Returnseng
dc.typeJOURNAL_ARTICLEdeu
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kops.citation.bibtex
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  title={Recovering Risk Aversion from Option Prices and Realized Returns},
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  journal={Review of Financial Studies},
  pages={433--451},
  author={Jackwerth, Jens}
}
kops.citation.iso690JACKWERTH, Jens, 2000. Recovering Risk Aversion from Option Prices and Realized Returns. In: Review of Financial Studies. 2000, 13(2), pp. 433-451deu
kops.citation.iso690JACKWERTH, Jens, 2000. Recovering Risk Aversion from Option Prices and Realized Returns. In: Review of Financial Studies. 2000, 13(2), pp. 433-451eng
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