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030 Department Bulletin Papers = 本学紀要論文
*Hitotsubashi journal of economics
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Number of Access this item:
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Identifier to cite or link to this item: https://doi.org/10.15057/26019
Identifier to cite or link to this item: https://hdl.handle.net/10086/26019
Link to primary information
File
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Description
cover_26019
pdf
HJeco0540201370
pdf
2.22 MB
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Item Information
Output File
Title
OPTION-IMPLIED RISK AVERSION ANOMALIES: EVIDENCE FROM JAPANESE MARKET
Creator
Creator Name
TAKKABUTR, NATTAPOL
TAKKABUTR, NATTAPOL
Affiliation
Affiliation Name
Osaka University
Key Word
crisis
financial crisis
option
option-implied
risk aversion
JEL
G01
G130
G140
Abstract
This paper empirically studied the relative risk aversion (RRA) implied from the options prices and historical returns of the Nikkei 225 index around the 2007-2008 subprime loan crisis. The extended use of Japanese option data and an estimation method of physical density are innovations introduced in this study. The RRA are typically downward sloping across the options. moneyness but show a clear U-shape and become negative around the at-the-money level. Also, the RRA level decreases substantially during the crisis. Previous studies have explained these anomalies as the result of a change in the investor mix or a mispricing of options.
Publisher
Hitotsubashi University
Issued Date
2013-12
Language
English(eng)
Resource Type
departmental bulletin paper
Version Type
VoR
selfDOI
10.15057/26019
ISSN
0018-280x
NCID
AA00207547
Source Title
Hitotsubashi Journal of Economics
Volume Number
54
Issue Number
2
Page Start
137
Page End
157
Appears in Collections
Vol. 54, no. 2 (Dec. 2013)
URL
https://hdl.handle.net/10086/26019
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