A New Predictor of U.S. Real Economic Activity: The S&P 500 Option Implied Risk Aversion
We propose a new predictor of U.S. real economic activity (REA)—namely, the representative investor’s implied relative risk aversion (IRRA) extracted from S&P 500 option prices. IRRA is forward-looking and hence is expected to be related to future economic conditions. We document that U.S. IRRA...
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Published in | Management science Vol. 65; no. 10; pp. 4927 - 4949 |
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Main Authors | , , , |
Format | Journal Article |
Language | English |
Published |
Linthicum
INFORMS
01.10.2019
Institute for Operations Research and the Management Sciences |
Subjects | |
Online Access | Get full text |
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