Oil jump risk
Nima Ebrahimi and
Journal of Futures Markets, 2020, vol. 40, issue 8, 1282-1311
The risk premium associated with large upside jumps in oil market is a significant driver of the cross‐section of stock returns from 1986 to 2014. In contrast to previous research, variance risk is priced only when we do not control for jumps. Upward jumps are priced in tight supply‐demand conditions but not in more abundant supply periods. There is some evidence that downward jumps are priced in abundant supply conditions but not in tight conditions. Innovations in risk neutral jumps have predictive power for important economic indicators, including notably consumption growth. This helps explain the pricing of jump risks.
References: Add references at CitEc
Citations: Track citations by RSS feed
Downloads: (external link)
This item may be available elsewhere in EconPapers: Search for items with the same title.
Export reference: BibTeX
RIS (EndNote, ProCite, RefMan)
Persistent link: https://EconPapers.repec.org/RePEc:wly:jfutmk:v:40:y:2020:i:8:p:1282-1311
Ordering information: This journal article can be ordered from
http://www.blackwell ... bs.asp?ref=0270-7314
Access Statistics for this article
Journal of Futures Markets is currently edited by Robert I. Webb
More articles in Journal of Futures Markets from John Wiley & Sons, Ltd.
Bibliographic data for series maintained by Wiley Content Delivery ().