On the Concavity of Jump Equity Premia
| Author | : Vassilis Polimenis |
| Publisher | : |
| Total Pages | : 7 |
| Release | : 2005 |
| ISBN-10 | : OCLC:1291224518 |
| ISBN-13 | : |
| Rating | : 4/5 ( Downloads) |
Book Synopsis On the Concavity of Jump Equity Premia by : Vassilis Polimenis
Download or read book On the Concavity of Jump Equity Premia written by Vassilis Polimenis and published by . This book was released on 2005 with total page 7 pages. Available in PDF, EPUB and Kindle. Book excerpt: The inherent incompleteness of continuous-time economies driven by market microstructure noise (modeled here as a Levy process) forces agents to price assets in new ways that have no analog in the dynamically complete continuous-path markets driven by a diffusion. It is shown that microstructure risk premia are non-linear functions of beta. The novel insight, counter to intuition, is that risk premia for stocks exposed to any type of negative Levy jumps are a concave function of their beta.