Earticle

초록

영어

This paper constructs an equilibrium model of option-implied preferences with model uncertainty. Our theoretical model shows that an investor with model uncertainty has a higher level of risk aversion than an investor without model uncertainty, which is helpful in explaining the equity premium puzzle. Using the detection-error probabil- ity, we estimate the option-implied uncertainty aversion. Empirical ¯ndings show that the estimated option-implied risk aversion with model uncertainty is larger than that without model uncertainty. With the higher level of uncertainty aversion, the empirical uncertainty premium shows the steeper smirk pattern across the wealth, which looks very similar to the smirk pattern of the implied volatility of S&P 500 index options.

목차

Abstract
 1 Introduction
 2 Theoretical Analysis
  2.1 Problem without Model Uncertainty
  2.2 Problem with Model Uncertainty
  2.3 Solution
  2.4 Option-Implied Uncertainty Premium and Detection-Error Probabilities
 3 Empirical Analysis
  3.1 Data
  3.2 Empirical Option-Implied Risk aversion Function
  3.3 Empirical Option-Implied Uncertainty Aversion
 4 Conclusion
 References
 FIGURE
 TABLE

키워드

저자

• Byung Jin Kang [ Seoul Woman's University ]
• Tong Suk Kim [ Graduate School of Finance, KAIST ]
• Hyo Seob Lee [ Graduate School of Management, KAIST ] Corresponding author

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간행물

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• 간행물명

  한국재무학회 학술대회

• 간기

  부정기

• 수록기간

  2006~2024

• 십진분류

  KDC 325 DDC 330