000			02024cam a22003137 4500
001			w8557
003			NBER
005			20211020113319.0
006			m o d
007			cr cnu||||||||
008			210910s2001 mau fo 000 0 eng d
100	1		_aBates, David S. _95793
245	1	4	_aThe Market for Crash Risk / _cDavid S. Bates.
260			_aCambridge, Mass. _bNational Bureau of Economic Research _c2001.
300			_a1 online resource: _billustrations (black and white);
490	1		_aNBER working paper series _vno. w8557
500			_aOctober 2001.
520	3		_aThis paper examines the equilibrium when negative stock market jumps (crashes) can occur, and investors have heterogeneous attitudes towards crash risk. The less crash-averse insure the more crash-averse through the options markets that dynamically complete the economy. The resulting equilibrium is compared with various option pricing anomalies reported in the literature: the tendency of stock index options to overpredict volatility and jump risk, the Jackwerth (2000) implicit pricing kernel puzzle, and the stochastic evolution of option prices. The specification of crash aversion is compatible with the static option pricing puzzles, while heterogeneity partially explains the dynamic puzzles. Heterogeneity also magnifies substantially the stock market impact of adverse news about fundamentals.
530			_aHardcopy version available to institutional subscribers
538			_aSystem requirements: Adobe [Acrobat] Reader required for PDF files.
538			_aMode of access: World Wide Web.
588	0		_aPrint version record
690		7	_aG13 - Contingent Pricing • Futures Pricing _2Journal of Economic Literature class.
710	2		_aNational Bureau of Economic Research.
830		0	_aWorking Paper Series (National Bureau of Economic Research) _vno. w8557.
856	4	0	_uhttps://www.nber.org/papers/w8557
856			_yAcceso en línea al DOI _uhttp://dx.doi.org/10.3386/w8557
942			_2ddc _cW-PAPER
999			_c339638 _d298200