The leverage effect and the basket-index put spread
| Autor: | Fan Yang, Jennie Bai, Robert S. Goldstein |
|---|---|
| Rok vydání: | 2019 |
| Předmět: |
040101 forestry
Economics and Econometrics 050208 finance Financial economics Strategy and Management 05 social sciences Leverage effect Equity (finance) 04 agricultural and veterinary sciences Accounting 0502 economics and business Financial crisis Economics ComputingMilieux_COMPUTERSANDSOCIETY 0401 agriculture forestry and fisheries Left tail Finance |
| Zdroj: | Journal of Financial Economics. 131:186-205 |
| ISSN: | 0304-405X |
| DOI: | 10.1016/j.jfineco.2018.07.015 |
| Popis: | Benchmark models that exogenously specify equity dynamics cannot explain the large spread in prices between put options written on individual banks and options written on the bank index during the financial crisis. However, theory requires that asset dynamics be specified exogenously and that endogenously determined equity dynamics exhibit a “leverage effect” that increases put prices by fattening the left tail of the distribution. The leverage effect is larger for puts on individual stocks than for puts on the index, thus increasing the basket-index spread. Time-series and cross-sectional variation in the leverage effect explains option prices well. |
| Databáze: | OpenAIRE |
| Externí odkaz: |
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