dc.contributor.advisor | Westgaard, Sjur | nb_NO |
dc.contributor.author | Øverås, Roar | nb_NO |
dc.date.accessioned | 2014-12-19T14:32:24Z | |
dc.date.available | 2014-12-19T14:32:24Z | |
dc.date.created | 2011-10-12 | nb_NO |
dc.date.issued | 2011 | nb_NO |
dc.identifier | 447495 | nb_NO |
dc.identifier.uri | http://hdl.handle.net/11250/267349 | |
dc.description.abstract | In this thesis I investigate the variance risk premiums, defined as the difference between the markets implied variance and subsequent realised variance, in equity index and oil futures markets. I describe how the square of listed volatility indices approximates the markets risk neutral expectancy of future 30-day variance and quantify the variance risk premium over a period of around 11 years for the equity indices and for a period of 4 years in the oil futures market. The variance risk premiums are found to be strongly negative and statistically significant in the equity indices. The results in the oil futures market are mixed, but found to be strongly negative and statistically significant considering the much used log variance risk premium measure. In addition I am able to rationalise how the market prices variance risk by employing an extension of the classical Sharpe ratio that accounts for investor aversion of higher moments in the return distributions. Furthermore I find that the classical capital asset pricing model predicts the correct sign of the variance risk premiums, but fails to explain their magnitude. Since none has described the statistical properties of the variance risk premiums on European equity indices in a similar manner to mine my thesis may serve as a fruitful addition to the existing literature of the variance risk premiums. | nb_NO |
dc.language | eng | nb_NO |
dc.publisher | Norges teknisk-naturvitenskapelige universitet, Fakultet for samfunnsvitenskap og teknologiledelse, Institutt for samfunnsøkonomi | nb_NO |
dc.subject | Social and Behavioural Science, Law | en_GB |
dc.title | Variance Risk Premiums on the S&P 500, Nasdaq 100, Euro Stoxx 50, FTSE 100, SMI, DAX and the United States Oil Fund | nb_NO |
dc.type | Master thesis | nb_NO |
dc.source.pagenumber | 58 | nb_NO |
dc.description.localcode | Masteroppgaven vil etter forfatterens ønske ikke bli åpent tilgjengelig. | |
dc.contributor.department | Norges teknisk-naturvitenskapelige universitet, Fakultet for samfunnsvitenskap og teknologiledelse, Institutt for samfunnsøkonomi | nb_NO |