Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/172872
Authors: 
Hollstein, Fabian
Prokopczuk, Marcel
Wese Simen, Chardin
Year of Publication: 
2017
Series/Report no.: 
Hannover Economic Papers (HEP) 618
Abstract: 
We study the term structure of variance (total risk), systematic and idiosyncratic risk. Consistent with the expectations hypothesis, we find that, for the entire market, the slope of the term structure of variance is mainly informative about the path of future variance. Thus, there is little indication of a time-varying term premium. Turning the focus to individual stocks, we cannot reject the expectations hypothesis for the systematic variance, but we strongly reject it for idiosyncratic variance. Our results are robust to jumps and potential statistical biases.
Subjects: 
Options
term structure
expectations hypothesis
model-free option implied variance
implied correlation
systematic risk
beta
idiosyncratic variance
JEL: 
G12
G11
G17
Document Type: 
Working Paper

Files in This Item:
File
Size
897.53 kB





Items in EconStor are protected by copyright, with all rights reserved, unless otherwise indicated.