波动性风险溢价能否改进法马-法兰克三因素模型对股指回报的解释?- 来自美国工业股票指数的证据

Jihui Chen
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引用次数: 0

摘要

在本论文中,作者研究了波动率风险溢价(即隐含波动率与实现波动率之间的差额),该风险溢价在近期的文献中被认为是解释股票收益的一个风险因素。作者在美国市场的三个行业市场指数收益中--汽车、IT 和银行业--实证检验了涉及波动风险溢价的法玛-法式三因素模型和多因素资产定价模型。研究发现,在 Fama-French 模型中加入波动性风险溢价可以改善对横截面股指回报的解释。这一研究结果与 Bollerslev 等人的研究结果一致,即波动性风险溢价可以持续解释股票回报。
本文章由计算机程序翻译,如有差异,请以英文原文为准。
Can Volatility Risk Premia Improve Fama-French Three-Factor Model in the Explanation of Stock Index Returns? — Evidence from US Industrial Stock Indices
In this dissertation, the author studies the volatility risk premia (i.e., the difference between implied volatility and realized volatility), which is documented in recent literature as a risk factor to explain equity returns. The author empirically tests the Fama-French three-factor model and the multifactor asset pricing model involving volatility risk premia in three industrial market index returns in the US market – motorcar, IT and banking industries. It is found that adding volatility risk premia to Fama-French model can improve the explanation of cross-sectional stock index returns. This finding is consistent with Bollerslev et al. in which volatility risk premia consistently explains stock returns.
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