Research seminars

The price of variance risk

Finance

Speaker: Stefano Giglio
Chicago Booth

12 March 2015


The average investor in the variance swap market is indifferent to news about future variance at horizons ranging from 1 month to 14 years. It is only purely transitory and unexpected realized variance that is priced. These results present a challenge to most structural models of the variance risk premium, such as the intertemporal CAPM, recent models with Epstein–Zin preferences and long-run risks, and models where institutional investors have value-at-risk constraints. The results also have strong implications for macro models where volatility affects investment decisions, suggesting that investors are not willing to pay to hedge shocks in expected economic uncertainty

Finance

Speaker: Matthieu Bouvard
Desautels Faculty of Management

14 June 2018 - From 2:00 pm to 3:15 pm


Finance

Speaker: Mikhail Simutin
Rotman School of Management

7 June 2018 - From 2:00 pm to 3:15 pm


Finance

Speaker: Liyan Yang
Rotman School of Management

31 May 2018 - From 2:00 pm to 3:15 pm


Finance

Speaker: Anton Lines
Columbia Business School

24 May 2018 - From 2:00 pm to 3:15 pm


Finance

Speaker: Ian Martin
LSE

17 May 2018 - From 2:00 pm to 3:15 pm



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