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Mathis Rudolf Werner Mörke
Title
Dr.
Last Name
Mörke
First name
Mathis Rudolf Werner
Email
mathis.moerke@unisg.ch
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1 - 4 of 4
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PublicationType: working paper
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PublicationOption Factor Momentum( 2023-04-13)
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PublicationThe Role of Leveraged ETFs and Option Market Imbalances on End-of-Day Price Dynamics(SoF-HSG, 2021-09-17)
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PublicationCredit Variance Risk PremiumsThis paper studies variance risk premiums in the credit market. Using a novel data set of swaptions quotes on the CDX North America Investment Grade index, we find that returns of credit variance swaps are negative and economically large. Shorting variance swaps yields an annualized Sharpe ratio of almost six, eclipsing its counterpart in fixed income or equity markets. The returns remain highly statistically significant when accounting for transaction costs, cannot be explained by established risk-factors, and hold for various investment horizons. We also dissect the overall variance risk premium into payer and receiver variance risk premiums. We find that exposure to both parts is priced. However, the returns for payer variance, associated with bad economic states, are roughly twice as high in absolute terms.