Activity Number:
|
448
- The Essential Role of Statistics in Modeling Complex Data in Business and Economics
|
Type:
|
Invited
|
Date/Time:
|
Wednesday, August 2, 2017 : 8:30 AM to 10:20 AM
|
Sponsor:
|
Section on Statistics in Marketing
|
Abstract #324679
|
|
Title:
|
Betting on Low Volatility
|
Author(s):
|
Zhaogang Song* and Lai Xu and Nicola Fusari
|
Companies:
|
Johns Hopkins University and Syracuse Univeristy and Johns Hopkins University
|
Keywords:
|
Volatility ;
Tail Risk ;
VIX Option
|
Abstract:
|
We provide strong empirical evidence for a negative premium to betting on low volatility. A downward volatility tail measure we develop through VIX options significantly predicts market returns with a negative sign. A portfolio that takes less exposure to market risk when downward volatility tail is higher improves the sharp ratio significantly.
|
Authors who are presenting talks have a * after their name.