Journal of Financial & Quantitative Analysis. Vol. 52 Issue 5, Sep2017

杠杆效应，波动反馈效应与自激的市场干扰

作者：Peter Carr (Tandon School of Engineering, New York University)

Liuren Wu ( Zicklin School of Business, Baruch College)

摘要：股指波动变化和股指与指数收益率之间的互动来自于三个不同的渠道。第一，指数波动率随着市场整体的金融杠杆的上升而增大。第二，对系统性风险的正向冲击会提升资本成本并降低未来现金流的价值，由此导致指数收益率与其波动率之间的负相关关系，且不论金融杠杆的高低。最后，很多的负面市场干扰呈现出自激行为的特征。这篇文章提出一个综合以上三种渠道的模型，并检验了他们对指数期权定价以及不同类型公司股票期权定价的相对作用。

Leverage Effect, Volatility Feedback, and Self-Exciting Market Disruptions.

Peter Carr (Tandon School of Engineering, New York University), Liuren Wu( Zicklin School of Business, Baruch College)

ABSTRACT

Equity index volatility variation and its interaction with the index return can come from three distinct channels. First, index volatility increases with the market’s aggregate financial leverage. Second, positive shocks to systematic risk increase the cost of capital and reduce the valuation of future cash flows, generating a negative correlation between the index return and its volatility, regardless of financial leverage. Finally, large negative market disruptions show self-exciting behaviors. This article proposes a model that incorporates all three channels and examines their relative contribution to index option pricing and stock option pricing for different types of companies.

原文链接: http://web.b.ebscohost.com/ehost/pdfviewer/pdfviewer?vid=3&sid=e8101a7d-fe16-47bc-8e65-2cbb1af39c89%40sessionmgr103

翻译：汪国颂