The Pricing of Tail Risk and the Equity Premium: Evidence From International Option Markets
研究了国际股指期权中尾部风险的定价，发现负向尾部事件的风险溢价能有效预测未来收益，而波动率风险溢价则不能，表明尾部风险是股权溢价的主要驱动因素。
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.