Moment Risk Premiums in Option Markets: On Measurement, Structure, and Investment Implications
von Julian Dörries
Datum der mündl. Prüfung:2021-11-10
Erschienen:2021-11-16
Betreuer:Prof. Dr. Olaf Korn
Gutachter:Prof. Dr. Olaf Korn
Gutachter:Prof. Dr. Jan Muntermann
Gutachter:Prof. Dr. Tino Berger
Dateien
Name:eDiss_Doerries.pdf
Size:1.53Mb
Format:PDF
Zusammenfassung
Englisch
Rational investors are in general risk averse. An important implication of this risk aversion is that investors may demand compensation for certain risks they take – risk premiums. Moment risk premiums are an example of such risk premiums. They are defined as the difference between a particular statistical moment of the risk-neutral return distribution and the corresponding moment of the physical return distribution. It is the goal of this dissertation to study the measurement, structure, and investment implications of moment risk premiums in option markets. With respect to the measurement of moment risk premiums, the dissertation investigates quantile-based alternatives to traditional moment swaps. Thereby it shows how to measure and quantify these premiums in a robust and flexible manner. The structure of moment risk premiums is investigated by decomposing them into downside and upside premiums. Additionally, the premiums are analyzed regarding their predictive power for subsequent market excess returns. Lastly, the investment implications are studied by proposing and assessing various strategies that are potentially suitable to harvest a particular moment risk premium – the variance risk premium. The core findings of this thesis can be condensed as follows: (i) The dissertation finds a novel risk premium associated with asymmetry when moment risk premiums are measured with a quantile-based approach, (ii) traditional moment risk premiums are driven by tail extremity and need to be interpreted carefully, (iii) downside moment risk premiums exceed upside moment risk premiums and carry information about subsequently realized market risk premiums, (iv) the variance risk premium can be exploited to accumulate capital, (v) and trading strategies based on the variance risk premium require thoughtful design decisions since their performances critically depend on a proper design. The dissertation and its contributions are relevant for both researchers and practitioners in the fields of (empirical) asset pricing as well as asset and risk management.
Keywords: Options; Moment Risk Premiums; Moment Swaps; Decomposition; Downside and Upside; Predictive Regressions; Variance Factor; Trading Strategies; Long-term Investor