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Cited by 321

The DOI matches its Crossref record; 2 of the 2 references it cites were found in a registry or an index.

Crashes, Volatility, and the Equity Premium: Lessons from S&P 500 Options

Open access
Santa-Clara, Pedro, Yan, Shu·2010·Review of Economics and Statistics
DOI 10.1162/rest.2010.11549
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Abstract

We use a novel pricing model to imply time series of diffusive volatility and jump intensity from S&P 500 index options. These two measures capture the ex ante risk assessed by investors. Using a simple general equilibrium model, we translate the implied measures of ex ante risk into an ex ante risk premium. The average premium that compensates the investor for the ex ante risks is 70% higher than the premium for realized volatility. The equity premium implied from option prices is shown to significantly predict subsequent stock market returns.

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Metadata

Authors
Santa-Clara, P., & Yan, S.
Venue
Review of Economics and Statistics
Publisher
MIT Press - Journals
Published
2010-05
Volume
92
Issue
2
Pages
435-451
ISSN
  • 0034-6535 (ISSN-L)
  • 1530-9142
DOI
10.1162/rest.2010.11549
OpenAlex
W2158512712
Cited by
321
References
2
FWCI
36.51
Type
journal article
Language
en
Open access
bronze

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CoChat. (2026). Citation check: Crashes, Volatility, and the Equity Premium: Lessons from S&P 500 Options. https://app.cochat.ai/papers/10.1162/rest.2010.11549
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Santa-Clara, P., & Yan, S. (2010). Crashes, Volatility, and the Equity Premium: Lessons from S&P 500 Options. Review of Economics and Statistics. https://doi.org/10.1162/rest.2010.11549

Data sources

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.