英文标题：
《Unravelling the Asymmetric Volatility Puzzle: A Novel Explanation of
  Volatility Through Anchoring》
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作者：
Mihaly Ormos and Dusan Timotity
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最新提交年份：
2016
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英文摘要：
  This paper discusses a novel explanation for asymmetric volatility based on the anchoring behavioral pattern. Anchoring as a heuristic bias causes investors focusing on recent price changes and price levels, which two lead to a belief in continuing trend and mean-reversion respectively. The empirical results support our theoretical explanation through an analysis of large price fluctuations in the S&P 500 and the resulting effects on implied and realized volatility. These results indicate that asymmetry (a negative relationship) between shocks and volatility in the subsequent period indeed exists. Moreover, contrary to previous research, our empirical tests also suggest that implied volatility is not simply an upward biased predictor of future deviation compensating for the variance of the volatility but rather, due to investors systematic anchoring to losses and gains in their volatility forecasts, it is a co-integrated yet asymmetric over/under estimated financial instrument. We also provide results indicating that the medium-term implied volatility (measured by the VIX Index) is an unbiased though inefficient estimation of realized volatility, while in contrast, the short-term volatility (measured by the recently introduced VXST Index representing the 9-day implied volatility) is also unbiased and yet efficient.
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中文摘要：
本文讨论了一种基于锚定行为模式的非对称波动性的新解释。锚定作为一种启发式偏差，导致投资者关注最近的价格变化和价格水平，这两种情况分别导致对持续趋势和均值回归的信念。通过分析标准普尔500指数的大幅价格波动及其对隐含和实际波动的影响，实证结果支持了我们的理论解释。这些结果表明，在随后的时期，冲击和波动之间确实存在不对称（负相关）。此外，与之前的研究相反，我们的实证检验还表明，隐含波动率不仅仅是一个向上倾斜的预测未来偏差的预测值，以补偿波动率的方差，而是由于投资者在其波动率预测中系统地锚定损失和收益，它是一种协整但不对称的过高/过低估计的金融工具。我们还提供的结果表明，中期隐含波动率（由波动率指数衡量）是对已实现波动率的无偏但低效的估计，而相比之下，短期波动率（由最近引入的代表9天隐含波动率的VXST指数衡量）也是无偏且有效的。
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分类信息：

一级分类：Quantitative Finance        数量金融学
二级分类：Pricing of Securities        证券定价
分类描述：Valuation and hedging of financial securities, their derivatives, and structured products
金融证券及其衍生产品和结构化产品的估值和套期保值
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一级分类：Quantitative Finance        数量金融学
二级分类：Statistical Finance        统计金融
分类描述：Statistical, econometric and econophysics analyses with applications to financial markets and economic data
统计、计量经济学和经济物理学分析及其在金融市场和经济数据中的应用
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