The Price of Correlation Risk: Evidence from Equity Options
利用标普100指数期权及其成分股期权数据，研究市场整体相关性冲击是否影响期权预期收益，发现相关性风险被定价，且基于此的交易策略在无摩擦环境下对投资者有吸引力。
ABSTRACT We study whether exposure to marketwide correlation shocks affects expected option returns, using data on S&P100 index options, options on all components, and stock returns. We find evidence of priced correlation risk based on prices of index and individual variance risk. A trading strategy exploiting priced correlation risk generates a high alpha and is attractive for CRRA investors without frictions. Correlation risk exposure explains the cross‐section of index and individual option returns well. The correlation risk premium cannot be exploited with realistic trading frictions, providing a limits‐to‐arbitrage interpretation of our finding of a high price of correlation risk.