The Behavior of Risk and Market Prices of Risk Over the Nasdaq Bubble Period

We exploit the information in the options market to study the variations of return risk and market prices of different sources of risk during the rise and fall of the Nasdaq market. We specify a model that accommodates fluctuations in both risk levels and market prices of different sources of risk, and we estimate the model using the time-series returns and option prices on the Nasdaq 100 tracking stock. Our analysis reveals three

• Type: Journal
• Year: 2010
• Where: MANSCI
• Authors: Gurdip Bakshi, Liuren Wu
• Keywords: Communications, MANSCI 2010, Market Prices, Nasdaq Market, Return Risk