How Aggregate Volatility-of-Volatility Affects Stock Returns

IF 2.2 Q2 BUSINESS, FINANCE

Review of Asset Pricing Studies Pub Date : 2018-12-01 DOI:10.1093/RAPSTU/RAX019

Fabian Hollstein, Marcel Prokopczuk

引用次数: 27

Abstract

A stylized theoretical model with stochastic volatility suggests the existence of a trade-off between returns and volatility-of-volatility. Using the VVIX, a measure of the option-implied volatility of the volatility index, we confirm this prediction and detect that time-varying aggregate volatility-of-volatility commands an economically substantial and statistically significant negative risk premium. We find that a two-standard-deviation increase in aggregate volatility-of-volatility factor loadings is associated with a decrease in average annual returns of about 11%. These results are robust to controlling for aggregate volatility, jump risk, and several other characteristics and factor sensitivities, as well as various additional tests.

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总波动率的波动率如何影响股票收益

一个具有随机波动率的风格化理论模型表明，在收益和波动率的波动率之间存在一种权衡。使用波动率指数的期权隐含波动率VVIX，我们证实了这一预测，并发现随时间变化的总波动率在经济上和统计上都具有显著的负风险溢价。我们发现，总波动率波动率因子负荷的两个标准差增加与平均年回报率下降约11%相关。这些结果对于控制总波动率、跳跃风险和其他几个特征和因素敏感性以及各种附加测试具有鲁棒性。

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.