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Dispersion Trading and Implied Correlation Risk Premium
SSRN Electronic JournalEquity index options often trade at implied volatilities that exceed the weighted implied volatility of their constituent stocks. This persistent gap reflects the market's pricing of correlation risk embedded in index derivatives. Dispersion trading strategies exploit this structural inefficiency by constructing portfolios that are short index ...
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Factors Correlated with Equity Market Risk Premiums in Developed and Emerging Markets [PDF]
, 2008 This paper re-examines how three theory-suggested factors affect equity returns - specified as risk-premiums - and how the results differ between developed and emerging markets. Traditional time series or cross-sectional regression procedures have yielded inconclusive evidence on maintained hypotheses about the determinants of equity premiums. However,
Marisetty, Vijaya B., Ariff, Mohamed
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Expected Stock Returns and the Correlation Risk Premium
SSRN Electronic Journal, 2018Adrian Buss +2 more
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The Correlation Risk Premium: International Evidence
Journal of Banking and Finance, 2022Robert Kosowski, Gonçalo Faria
exaly
Industry variance risk premium, cross-industry correlation, and expected returns
Journal of Futures Markets, 2023Qi Xu, Xingguo Luo, Yabei ZHU
exaly
Cross-stock market spillovers through variance risk premiums and equity flows
Journal of International Money and Finance, 2021Ilhyock Shim
exaly
The role of financial investors in determining the commodity futures risk premium
Journal of Futures Markets, 2020Mohammad Isleimeyyeh
exaly
The geopolitical risk premium in the commodity futures market
Journal of Futures Markets, 2023Daxuan
exaly
Comonotonicity, correlation order and premium principles
Insurance: Mathematics and Economics, 1998Jan Dhaene, Shaun Wang
exaly