Hollstein, Fabian, Prokopczuk, Marcel and Wese Simen, Chardin 
ORCID: 0000-0003-4119-3024
(2019)
The term structure of systematic and idiosyncratic risk.
JOURNAL OF FUTURES MARKETS, 39 (4).
pp. 435-460.
ISSN 0270-7314, 1096-9934
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Abstract
<jats:title>Abstract</jats:title><jats:p>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 systematic variance, but we strongly reject it for idiosyncratic variance. Our results are robust to jumps and potential statistical biases.</jats:p>
| Item Type: | Article |
|---|---|
| Uncontrolled Keywords: | expectations hypothesis, idiosyncratic risk, implied correlation, model-free option-implied variance, options, systematic risk, term structure |
| Depositing User: | Symplectic Admin |
| Date Deposited: | 21 Aug 2019 07:41 |
| Last Modified: | 07 Dec 2024 07:29 |
| DOI: | 10.1002/fut.21985 |
| Related URLs: | |
| URI: | https://livrepository.liverpool.ac.uk/id/eprint/3052277 |
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