Cookies?
Library Header Image
LSE Research Online LSE Library Services

Macroeconomic determinants of stock market returns, volatility and volatility risk-premia

Corradi, Valentina and Distaso, Walter and Mele, Antonio (2008) Macroeconomic determinants of stock market returns, volatility and volatility risk-premia. Discussion paper, 616. Financial Markets Group, London School of Economics and Political Science, London, UK.

[img]
Preview
PDF
Download (403kB) | Preview
Identification Number: 616

Abstract

This paper introduces a no-arbitrage framework to assess how macroeconomic factors help explain the risk-premium agents require to bear the risk of fluctuations in stock market volatil- ity. We develop a model in which return volatility and volatility risk-premia are stochastic and derive no-arbitrage conditions linking volatility to macroeconomic factors. We estimate the model using data related to variance swaps, which are contracts with payo¤s indexed to nonparametric measures of realized volatility. We nd that volatility risk-premia are strongly countercyclical, even more so than standard measures of return volatility.

Item Type: Monograph (Discussion Paper)
Official URL: http://fmg.lse.ac.uk
Additional Information: © 2008 The Authors
Subjects: H Social Sciences > HB Economic Theory
Sets: Research centres and groups > Financial Markets Group (FMG)
Collections > Economists Online
Collections > LSE Financial Markets Group (FMG) Working Papers
Date Deposited: 10 Jul 2009 14:55
Last Modified: 27 Feb 2014 15:35
URI: http://eprints.lse.ac.uk/id/eprint/24436

Actions (login required)

View Item View Item

Downloads

Downloads per month over past year

View more statistics