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Risk premia across asset markets: information from option prices

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Author Info
Nikola Tarashev
Kostas Tsatsaronis
Abstract

A measure of risk premium is derived from the comparison of spot and option prices across the US equity and eurodollar markets. Risk premia in both markets co-move with volatility risk. Option prices, however, seem to underreact to changes in return volatility forecasts.

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Article provided by Bank for International Settlements in its journal BIS Quarterly Review.

Volume (Year): (2006)
Issue (Month): (March)
Pages:
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Handle: RePEc:bis:bisqtr:0603h

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Find related papers by JEL classification:
G12 - Financial Economics - - General Financial Markets - - - Asset Pricing
G13 - Financial Economics - - General Financial Markets - - - Contingent Pricing; Futures Pricing
G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies

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