Amundi Asset Management

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  • Variance Premium, Downside Risk, And Expected Stock Returns download

    White papers 17 June 2019

    We decompose total variance into its bad and good components and measure the premia associated with their fluctuations using stock and option data from a large cross-section of firms. The total variance risk premium (VRP) represents the premium paid to insure against fluctuations in bad variance (called bad VRP), net of the premium received to compensate for fluctuations in good variance (called good VRP).

  • International Stock Market Co-Movements And Politics-Related Risks download

    White papers 17 June 2019

    We investigate the determinants of international stock market co-movements, shedding light on the relevance of politics-related factors. We propose a new characterization for the link connecting politics and financial markets, disentangling two different components: political risk and economic policy risk. We uncover the surprisingly low correlation between the two variables, and show they are priced differently by the market.

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