Abstract

We explore the pricing of tail risk as manifest in index options across international equity markets. The risk premium associated with negative tail events displays persistent shifts, unrelated to volatility. This tail risk premium is a potent predictor of future returns for all the indices, while the option-implied volatility only forecasts the future return variation. Hence, compensation for negative jump risk is the primary driver of the equity premium, whereas the reward for pure diffusive variance risk is unrelated to future equity returns. We also document pronounced commonalities, suggesting a high degree of integration among the major global equity markets. KEY WORDS: Equity risk premium; International option markets; Predictability; Tail risk; Variance risk premium.

摘要

我们探讨了在国际股票市场的指数期权中体现的尾部风险定价。与负尾事件相关的风险溢价显示出持续的变化，与波动无关。尾部风险溢价是所有指数未来收益的有效预测指标，而期权隐含波动率仅预测未来收益变化。因此，负跳跃风险的补偿是股票溢价的主要驱动力，而纯扩散方差风险的报酬与未来股票收益无关。我们还记录了明显的共性，表明主要的全球股票市场之间的高度整合。关键词：股权风险溢价；国际期权市场；可预测性；尾巴风险；方差风险溢价。