Same firm, two volatilities: How variance risk is priced in credit and equity markets
نویسندگان
چکیده
Variance risk premia (VRP) based on equity and credit market information for the same firm differ substantially in magnitude. VRP is strongly dependent characteristics. Higher-leveraged larger firms have lower VRP. The smirk plot of vs. leverage higher low-levered than high-levered firms. This more pronounced market. VRP, especially correlates with future returns a priced source both markets.
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ژورنال
عنوان ژورنال: Journal of Corporate Finance
سال: 2021
ISSN: ['0929-1199', '1872-6313']
DOI: https://doi.org/10.1016/j.jcorpfin.2021.101885