Ing-Haw Cheng
Dartmouth College
Network
Latest external collaboration on country level. Dive into details by clicking on the dots.
Publication
Featured researches published by Ing-Haw Cheng.
Review of Financial Studies | 2018
Ing-Haw Cheng
Ex ante estimates of the volatility premium embedded in VIX futures, known as the VIX premium, fall or stay flat when ex ante measures of risk rise. This is not an artifact of mismeasurement: (i) ex ante premiums reliably predict ex post returns to VIX futures with a coefficient near one, and (ii) falling ex ante premiums predict increasing ex post market and investment risk, creating profitable trading opportunities. Falling hedging demand helps explain this behavior, as premiums and trader exposures tend to fall together when risk rises. These facts provide a puzzle for theories of why investors hedge volatility. Received January 13, 2017; editorial decision April 26, 2018 by Editor Stijn Van Nieuwerburgh. Authors have furnished an Internet Appendix, which is available on the Oxford University Press Web site next to the link to the final published paper online.
Review of Financial Economics | 2014
Ing-Haw Cheng; Wei Xiong
National Bureau of Economic Research | 2010
Ing-Haw Cheng; Harrison G. Hong; Jose A. Scheinkman
The American Economic Review | 2014
Ing-Haw Cheng; Sahil Raina; Wei Xiong
Journal of Finance | 2015
Ing-Haw Cheng; Harrison G. Hong; Jose A. Scheinkman
Review of Financial Studies | 2012
Ing-Haw Cheng; Konstantin Milbradt
Economic Perspectives | 2001
Ing-Haw Cheng; Eric French
National Bureau of Economic Research | 2016
Ing-Haw Cheng; Harrison G. Hong; Kelly Shue
Archive | 2011
Ing-Haw Cheng
National Bureau of Economic Research | 2012
Ing-Haw Cheng; Andrei A. Kirilenko; Wei Xiong
