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Results for “VRP” · papers 1 · wiki 3
Academic Papers · 1arXiv q-fin live 0 · desk corpus 1
arXiv · arXiv · 2025

Sources and Nonlinearity of High Volume Return Premium: An Empirical Study on the Differential Effects of Investor Identity versus Trading Intensity (2020-2024)

Chae and Kang (2019, \textit{Pacific-Basin Finance Journal}) documented a puzzling Low Volume Return Premium (LVRP) in Korea -- contradicting global High Volume Return Premium (HVRP) evidence. We resolve this puzzle. Using Korean market data (2020-2024), we demonstrate that HVRP exists in Korea but is masked by (1) pooling heterogeneous investor types and (2) using inappropriate intensity normalization. When institut…

Sungwoo Kang
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Wiki Entities · 3
CTA

CTA Option Writer

A CTA that is structurally short implied volatility — harvesting VRP with futures options, and owning a jump left tail.

Derivatives

Stochastic Volatility Model

Stochastic Volatility Model — Models where volatility itself is random, capturing smile dynamics and VRP.

Strategies

Volatility Risk Premium Effect

Sell implied volatility and buy realized — harvest the gap that insurance buyers pay, with a jump left tail.

Option Blackboard · 0
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Encyclopedia · 2
CTA · Foundations

CTA Option Writer

A CTA that is structurally short implied volatility — harvesting VRP with futures options, and owning a jump left tail.

Derivatives · Foundations

Stochastic Volatility Model

Stochastic Volatility Model — Models where volatility itself is random, capturing smile dynamics and VRP.

Cards · 0
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