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Cited by 423

The DOI matches its Crossref record; 45 of the 45 references it cites were found in a registry or an index.

The Price of Correlation Risk: Evidence from Equity Options

Open access
DRIESSEN, JOOST, MAENHOUT, PASCAL J., VILKOV, GRIGORY·2009·The Journal of Finance
DOI 10.1111/j.1540-6261.2009.01467.x
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Abstract

We study whether exposure to marketwide correlation shocks affects expected option returns, using data on S&P100 index options, options on all components, and stock returns. We find evidence of priced correlation risk based on prices of index and individual variance risk. A trading strategy exploiting priced correlation risk generates a high alpha and is attractive for CRRA investors without frictions. Correlation risk exposure explains the cross‐section of index and individual option returns well. The correlation risk premium cannot be exploited with realistic trading frictions, providing a limits‐to‐arbitrage interpretation of our finding of a high price of correlation risk.

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Crossref · 10.1111/j.1540-6261.2009.01467.x

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Metadata

Authors
DRIESSEN, J., MAENHOUT, P. J., & VILKOV, G.
Venue
The Journal of Finance
Publisher
Wiley
Published
2009-05-20
Volume
64
Issue
3
Pages
1377-1406
ISSN
  • 0022-1082 (ISSN-L)
  • 1540-6261
DOI
10.1111/j.1540-6261.2009.01467.x
OpenAlex
W3121513733
Cited by
423
References
45
FWCI
47.62
Type
journal article
Language
en
Open access
bronze

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CoChat. (2026). Citation check: The Price of Correlation Risk: Evidence from Equity Options. https://app.cochat.ai/papers/10.1111/j.1540-6261.2009.01467.x
The paper
DRIESSEN, J., MAENHOUT, P. J., & VILKOV, G. (2009). The Price of Correlation Risk: Evidence from Equity Options. The Journal of Finance. https://doi.org/10.1111/j.1540-6261.2009.01467.x

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Bibliographic data: Semantic Scholar, OpenAlex, Crossref.

Contains information from the Semantic Scholar Academic Graph Datasets, made available under the ODC Attribution License (ODC-BY 1.0).

Semantic Scholar’s data is described in: Kinney, R., et al. (2023). The Semantic Scholar Open Data Platform. arXiv:2301.10140.