SSRN Author: Wanjun JiangWanjun Jiang SSRN Content
http://www.ssrn.com/author=374101
http://www.ssrn.com/rss/en-usFri, 26 Jan 2018 10:24:31 GMTeditor@ssrn.com (Editor)Fri, 26 Jan 2018 10:24:31 GMTwebmaster@ssrn.com (WebMaster)SSRN RSS Generator 1.0REVISION: Does VIX Truly Measure Return Volatility?This article demonstrates theoretically that without imposing any structure on the underlying forcing process, the model-free CBOE volatility index (VIX) does not measure market expectation of volatility but that of a linear moment-combination. Particularly, VIX undervalues (overvalues) volatility when market return is expected to be negatively (positively) skewed. Alternatively, we develop a model-free generalized volatility index (GVIX). With no diffusion assumption, GVIX is formulated directly from the definition of log-return variance, and VIX is a special case of the GVIX. Empirically, VIX generally understates the true volatility, and the estimation errors considerably enlarge during volatile markets. The spread between GVIX and VIX follows a mean-reverting process.
http://www.ssrn.com/abstract=2489345
http://www.ssrn.com/1661172.htmlWed, 24 Jan 2018 08:01:55 GMTREVISION: VIX Decomposed Tail Risk Premia and the Tail Risk FactorThis paper estimates equity tail risk premia (TRP) by decomposing the squared VIX index into four fundamentally different elements: the tail risk premium (TRP), the realized tail (RT), the variance risk premium (VRP) and the realized variance (RV), respectively. Empirically, approximate one-third of the VIX variation is attributed to the TRP. In addition to VRP, RT and TRP are crucial components for predicting future returns on equity portfolios. Applying this tail risk premia estimation methodology to individual stocks, we construct a tail risk factor, PMN, using mimicking portfolios sorted by individual stock tail risk premium. The results of Fama-Macbeth (1973) two pass regression show that the PMN factor provides additional information beyond market, size and value factors and is able to explain momentum, investment, and operating profitability factors. This indicates that the tail risk factor captures important common variation in cross-section of stock returns, especially when ...
http://www.ssrn.com/abstract=2747169
http://www.ssrn.com/1659088.htmlTue, 16 Jan 2018 11:20:23 GMT