Abstracts

This paper analyzes the relationship between the dynamics of individual stocks and that of the market. We implement a rigorous time-series estimation approach which incorporates information on single name and index option prices as well as high-frequency underlying returns in different market situations. We identify the idiosyncratic and systematic risk components of single stocks and investigate their impact on the risk-neutral distributions of returns and on the volatility smiles. Finally, we analyze the structure of single name equity and variance risk premia in relation to index risk premia.