Midwest Finance Association
06 Marzo 2014
La académica e investigadora del Centro de Finanzas, Marcela Valenzuela, presentó el 6 de marzo su investigación "Implied correlation and expected returns" en 63ª versión de la "MFA Annual Conference", la que se desarrolló entre el 5 y el 8 de marzo en Orlando, Florida (USA).

Este encuentro fue organizado por la Midwest Finance Association, entidad, fundada en 1951, dedicada al desarrollo y difusión de la información relativa a los últimos avances en la teoría y la práctica económica. 

Abstract "Implied correlation and expected returns"


This paper provides evidence that the implied correlation is a significant indicator of market-wide risk. From a time-series approach, I analyze whether aggregate implied correlation contains information on future market returns. I document that it explains an important fraction of the variation in aggregate market excess returns, with high implied correlation followed by an increase in subsequent market returns. The predictive power is stronger at a forecast of bimonthly, quarterly and semi-annually return horizons and is not captured by standard predictors like valuation ratios and business cycle variables. Moreover, I show that the information content of the correlation risk premium on market returns is fully driven by the implied correlation. The results are consistent with periods of high correlation indicating an increase in aggregate risk; when business conditions deteriorate, risk averse investors demand a higher risk premium to hold aggregate wealth, inducing an increase in the market risk premium. 

República 701, Santiago, Chile. Teléfono: (+562) 2978 4054 / (+562) 2978 4914

E-Mail: cf@dii.uchile.cl

El Centro de Finanzas agradece el significativo aporte del Banco de Crédito e Inversiones, BCI, a esta iniciativa