Asset Details
Do you wish to reserve the book?
When Uncertainty Blows in the Orchard: Comovement and Equilibrium Volatility Risk Premia
Hey, we have placed the reservation for you!
By the way, why not check out events that you can attend while you pick your title.
Oops! Something went wrong.
Looks like we were not able to place the reservation. Kindly try again later.
Are you sure you want to remove the book from the shelf?
When Uncertainty Blows in the Orchard: Comovement and Equilibrium Volatility Risk Premia
Do you wish to request the book?
When Uncertainty Blows in the Orchard: Comovement and Equilibrium Volatility Risk Premia
Please be aware that the book you have requested cannot be checked out. If you would like to checkout this book, you can reserve another copy
We have requested the book for you!
Your request is successful and it will be processed during the Library working hours. Please check the status of your request in My Requests.
Oops! Something went wrong.
Looks like we were not able to place your request. Kindly try again later.
Journal Article
When Uncertainty Blows in the Orchard: Comovement and Equilibrium Volatility Risk Premia
2014
Overview
We provide novel evidence for an equilibrium link between investors' disagreement, the market price of volatility and correlation, and the differential pricing of index and individual equity options. We show that belief disagreement is positively related to (i) the wedge between index and individual volatility risk premia, (ii) the different slope of the smile of index and individual options, and (iii) the correlation risk premium. Priced disagreement risk also explains returns of option volatility and correlation trading strategies in a way that is robust to the inclusion of other risk factors and different market conditions.
