Volatility-of-Volatility Risk in Asset Pricing

IF 2.2 Q2 BUSINESS, FINANCE

Review of Asset Pricing Studies Pub Date : 2021-07-20 DOI:10.1093/rapstu/raab018

Chen T, Chordia T, Chung S, et al.

引用次数: 0

Abstract

This paper develops a general equilibrium model and provides empirical support that the market volatility-of-volatility (VOV) predicts market returns and drives the time-varying volatility risk. In asset pricing tests with the market, volatility, and VOV as factors, the risk premium on VOV is statistically and economically significant and robust. Market and volatility risks are not priced in unconditional models, but, consistent with theory, their factor loadings, conditional on VOV, are priced. The pricing impact of VOV strengthens during market crashes, suggesting that VOV is particularly relevant during market turmoil, when investors demand increased compensation for VOV risk. (JEL G11, G12, G13)

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资产定价中的波动性风险

摘要本文建立了一个一般均衡模型，为市场波动率的波动率预测市场收益并驱动时变波动风险提供了实证支持。在以市场、波动性和VOV为因素的资产定价测试中，VOV的风险溢价在统计上和经济上都是显著的和稳健的。市场和波动风险不是在无条件模型中定价的，但是，与理论一致，它们的因素负荷以VOV为条件，是定价的。在市场崩溃期间，VOV的定价影响会增强，这表明当投资者要求增加对VOV风险的补偿时，VOV在市场动荡期间尤为重要。(凝胶g11, g12, g13)

本文章由计算机程序翻译，如有差异，请以英文原文为准。

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来源期刊

Review of Asset Pricing Studies BUSINESS, FINANCE-

CiteScore

19.80

自引率

0.80%

发文量

期刊介绍： The Review of Asset Pricing Studies (RAPS) is a journal that aims to publish high-quality research in asset pricing. It evaluates papers based on their original contribution to the understanding of asset pricing. The topics covered in RAPS include theoretical and empirical models of asset prices and returns, empirical methodology, macro-finance, financial institutions and asset prices, information and liquidity in asset markets, behavioral investment studies, asset market structure and microstructure, risk analysis, hedge funds, mutual funds, alternative investments, and other related topics. Manuscripts submitted to RAPS must be exclusive to the journal and should not have been previously published. Starting in 2020, RAPS will publish three issues per year, owing to an increasing number of high-quality submissions. The journal is indexed in EconLit, Emerging Sources Citation IndexTM, RePEc (Research Papers in Economics), and Scopus.