Crashes, Volatility, and the Equity Premium: Lessons from S&P 500 Options

By Pedro Santa-clara, Shu Yan. Review of Economics and Statistics, 2010

334 citations recorded by the source corpus.

Subfields: Finance

View Paper: https://www.semanticscholar.org/paper/879601c0b497c5f0443d9e62195ca92d03910f26

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Citations in the corpus

The Shape and Term Structure of the Index Option Smirk: Why Multifactor Stochastic Volatility Models Work So Well (2009, neutral): “…Benzoni and Lund (2002), Bakshi, Cao and Chen (1997), Bates (1996, 2000), Broadie, Chernov and Johannes (2007) Carr and Wu (2004), Chernov, Gallant, Ghysels and Tauchen (2003), Eraker, Johannes and Polson (2003), Eraker (2004), Pan (2002), Santa-Clara and Yan (2009), and Huang and Wu (2004).”
Tails, Fears and Risk Premia (2010, background): “Related option-based estimates for the part of the equity premium due to compensation for jump risk have previously been reported in the literature by Broadie et al. (2007), Eraker (2004), Pan (2002), and Santa-Clara and Yan (2009) among others.”
Dynamic jump intensities and risk premiums: Evidence from S&P500 returns and options (2012, neutral): “Our DVDJ and DVSDJ models and estimation results are related to the most complex dynamics investigated in the continuous-time literature, as in Santa-Clara and Yan (2010) and Eraker (2004), who specify time-varying intensities, and estimate their models using returns and options jointly.1 The…”
Corporate Political Connections and Tax Aggressiveness (2013, neutral): “In fact, a growing body of asset pricing literature shows that equity investors also care about downside risk and can value the lower downside risk brought about by political connections (e.g., Ang et al. 2006; Conrad et al. 2013; Santa-Clara and Yan 2010; Yan 2011).”
Volatility in Equilibrium: Asymmetries and Dynamic Dependencies (2009, background): “…pricing literature have also explored the equilibrium implications of allowing for richer volatility dynamics and non-standard preference structures; see, e.g., the recent papers by Benzoni et al. (2006), Eraker and Shaliastovich (2008) and Santa-Clara and Yan (2010) and the references therein.”
The Risk Premia Embedded in Index Options (2015, background): “(Wachter (2013) and Seo and Wachter (2013)) versus long-run risk and stochastic volatility in consumption growth (Drechsler and Yaron (2011)) – they share a critical feature in the pricing of jump tail risk.”
Financial Statement Comparability and Expected Crash Risk (2016, positive): “For example, Santa-Clara and Yan (2010) find that the required compensation for the expected crash risk is more than 70 percent higher than the compensation for the actual realized risk.”
Option Valuation with Observable Volatility and Jump Dynamics (2015, neutral): “See for example Andersen, Bollerslev, and Diebold (2007), and Busch, Christensen, and Nielsen (2011).3 Our goal is to assess if the improvements found in the volatility forecasting literature 1See for example Bates (2000, 2012), Eraker (2004), Huang and Wu (2004), and Santa-Clara and Yan (2010).”
EQUILIBRIUM ASSET AND OPTION PRICING UNDER JUMP DIFFUSION (2012, background): “It was also part of Santa-Clara and Yan (2010), who studied a general equilibrium in a more general setting of jump diffusion with stochastic volatility and stochastic jump intensity.”
Do Industry-Specialist Auditors Influence Stock Price Crash Risk? (2015, neutral): “7 Recent studies show that extreme outcomes in the capital market significantly affect investor welfare and that investors are greatly concerned about the probability of these extreme outcomes and require a higher equity premium (Santa-Clara and Yan, 2010). Moreover, Sunder (2010) argues that, unlik”