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RISS 인기검색어
- 검색키워드
- 저자 : Bing-Huei Lin (검색결과 2 건)
- 무료
- 기관 내 무료
- 유료
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Negative Market Volatility Risk Premium: Evidence from the LIFFE Equity Index Options
Bing-Huei Lin,Yin-Jung Chen 한국증권학회 2009 Asia-Pacific Journal of Financial Studies Vol.38 No.5
We provide non-parametric empirical evidence regarding negative volatility risk premium using LIFFE equity index options. In addition, we incorporate the moment-adjusted option delta hedge ratio to mitigate the effect of model misspecification. From the results, we observe several interesting phenomena. First, the delta-hedged gains are negative. Second, with a correction for model misspecification, higher-order moments measures show less significance and the volatility risk premium still plays a key role in affecting delta-hedged gains. All empirical evidence supports the existence of negative volatility risk premium in LIFFE equity index options.
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Structure of Spot Rates and Duration Hedging
Bing-Huei Lin,Jr-Yan Wang,Shih-Wen Tai 한국증권학회 2011 Asia-Pacific Journal of Financial Studies Vol.40 No.4
The present study proposes a three-factor model using spot rates as proxies for the state variables of the term structure of interest rates. Empirical analysis is carried out on the in-sample explanatory power and the out-of-sample prediction ability of spot-rate models, and comparison is made between the modified Macaulay duration and spot-rate duration hedging for bond portfolios. The results not only show that the optimal three-spot-rate model outperforms the optimal two-spot-rate model proposed by Elton et al. (Journal of Finance, 45, 1990, 629–642) with respect to explanation ability of unexpected changes in the term structure of interest rates, but also illustrate the importance of capturing the curvature characteristic of the term structure of interest rates for spot-rate duration hedging methods. Moreover, the impressive performance of three-spot-rate duration hedging implies that it is feasible to reduce the dimensions of state variables to three for the purposes of risk exposure prediction and risk management of bond portfolios.
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