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dc.contributor.authorAlonso, Francisco
dc.contributor.authorBlanco, Roberto
dc.contributor.authorRubio Irigoyen, Gonzalo
dc.date.accessioned2012-02-06T14:18:54Z
dc.date.available2012-02-06T14:18:54Z
dc.date.issued2005-06
dc.identifier.issn1988-088X
dc.identifier.urihttp://hdl.handle.net/10810/6740
dc.description.abstractThe main objective of this paper is to analyse the value of information contained in prices of options on the IBEX 35 index at the Spanish Stock Exchange Market. The forward looking information is extracted using implied risk-neutral density functions estimated by a mixture of two-lognormals and three alternative risk-adjustments: the classic power and exponential utility functions and a habit-based specification that allows for a counter-cyclical variation of risk aversion. Our results show that at four-week horizon we can reject the hypothesis that between October 1996 and March 2000 the risk-neutral densities provide accurate predictions of the distributions of future realisations of the IBEX 35 index at a four-week horizon. When forecasting through risk-adjusted densities the performance of this period is statistically improved and we no longer reject that hypothesis. All risk-adjusted densities generate similar forecasting statistics. Then, at least for a horizon of four-weeks, the actual risk adjustment does not seem to be the issue. By contrast, at the one-week horizon risk-adjusted densities do not improve the forecasting ability of the risk-neutral counterparts.es
dc.description.sponsorshipGonzalo Rubio acknowledges the financial support from Fundación BBVA research grant 1-BBVA 00044.321-15466/2002.es
dc.language.isoenges
dc.publisherUniversity of the Basque Country, Department of Foundations of Economic Analysis IIes
dc.relation.ispartofseriesDFAEII 2005.10
dc.rightsinfo:eu-repo/semantics/openAccesses
dc.rights.urihttp://creativecommons.org/licenses/by-nc-sa/3.0/*
dc.subjectrisk adjustmentes
dc.subjectoption implied densitieses
dc.subjectforecasting performancees
dc.titleOption-Implied Preferences Adjustments and Risk-Neutral Density Forecastses
dc.typeinfo:eu-repo/semantics/workingPaperes
dc.rights.holderAttribution-NonCommercial-ShareAlike 3.0 Unported*
dc.subject.jelG10
dc.subject.jelG12
dc.identifier.repecRePEc:ehu:dfaeii:200510es
dc.departamentoesFundamentos del análisis económico IIes_ES
dc.departamentoeuEkonomia analisiaren oinarriak IIes_ES
dc.subject.categoriaECONOMICS, ECONOMETRICS AND FINANCE
dc.subject.categoriaFINANCIAL ECONOMICS


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Attribution-NonCommercial-ShareAlike 3.0 Unported
Except where otherwise noted, this item's license is described as Attribution-NonCommercial-ShareAlike 3.0 Unported