Essays on Risk Premium

• Main Authors: Hsiu-Yun Chang, 張秀雲
• Other Authors: 洪茂蔚
• Format: Others
• Language: en_US
• Published: 2008
• Online Access: http://ndltd.ncl.edu.tw/handle/76582451354019978078

博士 === 國立臺灣大學 === 國際企業學研究所 === 96 === This thesis focuses on the topic of risk premium and mainly explores (1) “Common Risk Premiums in Currency Option Market” and (2) “Asymmetric Information Premiums in Housing Prices”. The first part of this thesis is to investigate whether and how volatility risks are priced in currency option market. Using a integrated database containing information on daily transaction foreign currency options, domestic and foreign interest rates, and foreign exchange rates, this study finds the following results: (1) Two common factors exist in the underlying assets of the PHLX currency options on the period of May 1, 1990 to December 19, 1997. The first factor should better be defined as ERM factor, and the other factor is non-ERM factor. (2) The Delta-Hedged Gains are significantly negative in currency options, by extending the Delta-Hedged Gains model of Bakshi and Kapadia (2003a, b), dealing with equity options, to currency options. (3) Non-ERM common risk premiums are embedded in PHLX currency options. The second part combines an exogenous measure of information developed by Garmaise and Moskowitzs (2004) with various functional forms of hedonic models to measure the implicit price of asymmetric information in the housing market. Using real estate market transaction data from the Department of Land Administration at the Ministry of the Interior in Taiwan, the evidence presented in this investigation supports the existence of an asymmetric information premium in housing prices, and going a step further, this premium is greater when prices are high.