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Explaining the Negative Returns to Volatility Products.

紀錄類型:	書目-語言資料,手稿 : Monograph/item
正題名/作者:	Explaining the Negative Returns to Volatility Products./
作者:	Wu, Yue.
面頁冊數:	1 online resource (121 pages)
附註:	Source: Dissertation Abstracts International, Volume: 77-10(E), Section: A.
Contained By:	Dissertation Abstracts International77-10A(E).
標題:	Finance. -
電子資源:	click for full text (PQDT)
ISBN:	9781339741284

Explaining the Negative Returns to Volatility Products.
Wu, Yue.

Explaining the Negative Returns to Volatility Products. - 1 online resource (121 pages)

Source: Dissertation Abstracts International, Volume: 77-10(E), Section: A.

Thesis (Ph.D.)

Includes bibliographical references

This dissertation studies returns to investing in volatility products with a primary focus on VIX futures and VIX Exchange Traded Products (ETPs). Substantial negative return premiums for these assets are documented. For example, the constant maturity portfolio of one-month VIX futures loses about 30\% per year from 2006 to 2013. The goal of the dissertation is to understand those big negative returns.The two chapters take two different and potentially complementary perspectives to look at the issue.

Electronic reproduction.
Ann Arbor, Mich. :
ProQuest,
2018

Mode of access: World Wide Web

ISBN: 9781339741284Subjects--Topical Terms:

559073
Finance.
Index Terms--Genre/Form:

554714
Electronic books.

Explaining the Negative Returns to Volatility Products.
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245 1 0 $a Explaining the Negative Returns to Volatility Products.
264 0 $c 2016
300 $a 1 online resource (121 pages)
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500 $a Source: Dissertation Abstracts International, Volume: 77-10(E), Section: A.
500 $a Adviser: Bjorn Eraker.
502 $a Thesis (Ph.D.) $c The University of Wisconsin - Madison $d 2016.
504 $a Includes bibliographical references
520 $a This dissertation studies returns to investing in volatility products with a primary focus on VIX futures and VIX Exchange Traded Products (ETPs). Substantial negative return premiums for these assets are documented. For example, the constant maturity portfolio of one-month VIX futures loses about 30\% per year from 2006 to 2013. The goal of the dissertation is to understand those big negative returns.The two chapters take two different and potentially complementary perspectives to look at the issue.
520 $a The first chapter attempts a structural explanation and investigates if the negative VIX futures return premium is consistent with a notion of dynamic equilibrium. A model based on present value computation is derived and it endogenizes stock prices, the VIX index and its associated derivative contracts. The sizable negative volatility risk premium in the model is intuitively linked to the volatility feedback effect: increases in volatility endogenously lead to decreasing stock price. Both diffusive and jump shocks to cash flow volatility are priced in equilibrium and the market price of risk is a function of risk aversion and the ``deep" parameters that govern the dynamics of volatility. The model generates an upward sloping equilibrium VIX futures curve (contango) in steady state. The estimated model explains the negative returns as well as several other stylized features of the VIX futures, ETPs, and variance swap data.
520 $a The second chapter explores whether price impact due to mechanical rolling activity of VIX ETPs contributes to the catastrophic loss. Empirical evidence is provided to support this hypothesis. The shape of the VIX future term structure is found to be significantly twisted by VIX ETPs'r rolling. The performance of VIX future indices that VIX ETPs track gets much worse after the launch of VIX ETPs. Greater amount of rolling relative to the total volume of VIX futures results in bigger loss. Front running strategies taking advantage of the price impact are shown to be very profitable right after the launch of VIX ETPs. The strategies deteriorate afterwards because VIX futures market gains more liquidity relative to VIX ETPs and also possibly because of arbitrageurs' more attention over time. In line with the price impact reasoning, VIX futures deliver abnormal daily returns when there is a directional change of trade flow by VIX ETPs.
533 $a Electronic reproduction. $b Ann Arbor, Mich. : $c ProQuest, $d 2018
538 $a Mode of access: World Wide Web
650 4 $a Finance. $3 559073
655 7 $a Electronic books. $2 local $3 554714
690 $a 0508
710 2 $a ProQuest Information and Learning Co. $3 1178819
710 2 $a The University of Wisconsin - Madison. $b Business. $3 1179058
773 0 $t Dissertation Abstracts International $g 77-10A(E).
856 4 0 $u http://pqdd.sinica.edu.tw/twdaoapp/servlet/advanced?query=10110897 $z click for full text (PQDT)