Version numérique PDF

This paper examines how the investors? expectations of the stock market evolve over the ten-year period from 1999 to 2008. In the past decade, the U.S. stock market experienced two major crises, with a relatively steady growth period in between. Using options implied risk neutral distributions to proxy for investors? expectations, the time series of the implied risk neutral distributions of the sector returns (Nasdaq 100 and SPDR Financial ETFs), and the broad base index returns (S&P 500 index) are extracted and examined. It is found that in general, investors? perception of the volatility and tail risks of stock returns are higher during the two crises. In addition, it also shows that the tail risk dependency between the sector and broad market returns only increases during the financial crisis, implying that the impact of the financial crisis is more severe than the bursting of the Internet bubble.Keywords: Financial Crises, Investment Decisions, Contingent Pricing.JEL codes: G01, G11, G13

Auteurs :Ni Lai Wan
Extrait de la revue BMI 120