方差、风险溢价、资产可预测性难题和宏观经济不确定性

IF 5 3区 经济学 Q1 BUSINESS, FINANCE
Hao Zhou
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引用次数: 0

摘要

本文回顾了方差风险溢价的可预测性证据:(a)它预测了股票、债券、货币和信贷市场的显著正风险溢价;(b)可预测性在几个月的范围内达到峰值,之后逐渐消失;(c)这种短期可预测性与市盈率、远期利率、息差和杠杆率所提供的长期可预测性是互补的。本文讨论了几种基于经济不确定性概念的结构方法,以产生这些关于方差风险溢价的程式化事实,这对各种经验性资产定价难题具有广泛的影响。
本文章由计算机程序翻译,如有差异,请以英文原文为准。
Variance Risk Premia, Asset Predictability Puzzles, and Macroeconomic Uncertainty
This article reviews the predictability evidence on the variance risk premium: (a) It predicts significant positive risk premia across equity, bond, currency, and credit markets; (b) the predictability peaks at few-month horizons and dies out afterward; (c) such a short-run predictability is complementary to the long-run predictability offered by the price-to-earnings ratio, forward rate, interest differential, and leverage ratio. Several structural approaches based on the notion of economic uncertainty are discussed for generating these stylized facts about the variance risk premium, which has broad implications for various empirical asset pricing puzzles.
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CiteScore
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