Bitte verwenden Sie diesen Link, um diese Publikation zu zitieren, oder auf sie als Internetquelle zu verweisen: https://hdl.handle.net/10419/146688 
Erscheinungsjahr: 
2016
Schriftenreihe/Nr.: 
Staff Report No. 789
Verlag: 
Federal Reserve Bank of New York, New York, NY
Zusammenfassung: 
Sellers of variance swaps earn time-varying risk premia for their exposure to realized variance, the level of variance swap rates, and the slope of the variance swap curve. To measure risk premia, we estimate a dynamic term structure model that decomposes variance swap rates into expected variances and term premia. Empirically, we document a strong global factor structure in variance term premia across the U.S., U.K., Europe, and Japan. We further show that variance term premia are negatively correlated with the risk appetite of hedge funds, broker-dealers, and mutual funds. Our results support the hypothesis that financial intermediaries are marginal investors in the variance swap market.
Schlagwörter: 
variance swap
variance risk premium
term structure
empirical asset pricing
volatility
financial intermediaries
JEL: 
G12
G13
C58
Dokumentart: 
Working Paper

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