Conference Agenda

Tips to navigate the program:

  • Overview of all papers on a specific day: click on the day (e.g. Date: Thursday, 24/Aug/2017). To download papers, you will need to access the session by clicking on its title first.
  • Program index: click on the Authors tab below.
  • Location name: to display all sessions taking place in that room
  • Search box: to search for authors, papers and sessions.

Please notes that changes in the program might occur.

If your name is not displayed in the program, please register in our conference system.

If your paper information is not up to date, please send us an email at

Session Overview
APE-3: Aggregate Risk
Thursday, 24/Aug/2017:
3:30pm - 5:00pm

Session Chair: Paolo Sodini, Stockholm School of Economics
Location: SN163

Show help for 'Increase or decrease the abstract text size'

Asset Pricing and Ambiguity: Empirical Evidence

Menachem Brenner1, Yehuda Izhakian2

1NYU Stern School of Business; 2Baruch College

Discussant(s): Yan Xu (University of Hong Kong)

This paper introduces ambiguity in conjunction with risk to study the relationship between risk, ambiguity and expected return. Distinguishing between ambiguity and attitudes toward ambiguity, we develop an empirical methodology for measuring the degree of ambiguity and for assessing attitudes toward ambiguity from market data. The main findings indicate that ambiguity in the equity market is priced. Introducing ambiguity alongside risk provides stronger evidence on the role of risk in explaining expected returns in the equity market. The findings also indicate that investors’ level of aversion to or love for ambiguity is contingent upon the expected probability of favorable returns.

EFA2017-838-APE-3-Brenner-Asset Pricing and Ambiguity.pdf

Implied Volatility Duration and the Early Resolution Premium

Christian Schlag, Julian Thimme, Rüdiger Weber

Goethe University Frankfurt

Discussant(s): Travis Johnson (University of Texas at Austin)

We introduce Implied Volatility Duration (IVD) as a new measure for the timing of the resolution of uncertainty about a stock's cash flows. The shorter the IVD, the earlier the resolution of uncertainty. Portfolio sorts indicate that investors demand on average about seven percent return per year in exchange for a late resolution of uncertainty, and this premium cannot be explained by standard factor models. We find that the premium is higher in times of increased economic uncertainty and low market returns. In a general equilibrium model, we show that the expected excess returns on high IVD stocks can exceed those of low IVD stocks if and only if the investor's relative risk aversion exceeds the inverse of her elasticity of intertemporal substitution, i.e., if she exhibits a `preference for early resolution of uncertainty' in the spirit of Epstein and Zin (1989). Our empirical analysis thus provides a purely market-based assessment of the relation between two preference parameters, which are usually hard to estimate.

EFA2017-1794-APE-3-Schlag-Implied Volatility Duration and the Early Resolution Premium.pdf

Global Variance Term Premia and Intermediary Risk Appetite

Peter Van Tassel, Erik Vogt

Federal Reserve Bank of New York

Discussant(s): Aytek Malkhozov (Federal Reserve Board)

Sellers of variance swaps earn time-varying risk premia for their exposure to realized variance, the level of variance swap rates, and the slope of the variance swap curve. To measure risk premia, we estimate a dynamic term structure model that decomposes variance swap rates into expected variances and term premia. Empirically, we document a strong global factor structure in variance term premia across the U.S., U.K., Europe, and Japan. We further show that variance term premia are negatively correlated with the risk appetite of hedge funds, broker-dealers, and mutual funds. Our results support the hypothesis that financial intermediaries are marginal investors in the variance swap market.

EFA2017-220-APE-3-Van Tassel-Global Variance Term Premia and Intermediary Risk Appetite.pdf

Contact and Legal Notice · Contact Address:
Conference: EFA 2017
Conference Software - ConfTool Pro 2.6.109+TC
© 2001 - 2017 by H. Weinreich, Hamburg, Germany