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Insurance Against Volatility Risk or Negative Skewness as Reflected by Option Returns in Emerging European Markets

Tunaru, Radu, Voukelatos, Nikolaos (2017) Insurance Against Volatility Risk or Negative Skewness as Reflected by Option Returns in Emerging European Markets. In: 2017 Annual Meetings of the European Financial Management Association, June 28- July 1, 2017, Athens. (Unpublished) (The full text of this publication is not currently available from this repository. You may be able to access a copy if URLs are provided)

The full text of this publication is not currently available from this repository. You may be able to access a copy if URLs are provided. (Contact us about this Publication)
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Abstract

This study examines the risk premia embedded in index option prices using a sample of emerging European Union countries. In contrast to the `over-priced puts puzzle' in the US market, writing puts in developing European exchanges is found to offer insignificant returns after accounting for risk. However, investors were paying a substantial premium for insurance against volatility risk, especially during the crisis. Insurance against negative skewness also commanded a high premium before the crisis, that disappeared post 2008. The returns of profitable option-selling strategies cannot be explained in an obvious way as compensation for risk across a set of factors.

Item Type: Conference or workshop item (Paper)
Subjects: H Social Sciences > HG Finance
Divisions: Faculties > Social Sciences > Kent Business School
Depositing User: Nikolaos Voukelatos
Date Deposited: 01 Jul 2017 07:43 UTC
Last Modified: 29 May 2019 19:11 UTC
Resource URI: https://kar.kent.ac.uk/id/eprint/62171 (The current URI for this page, for reference purposes)
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