{"title":"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","authors":"Jihui Chen","doi":"10.32629/memf.v4i3.1376","DOIUrl":null,"url":null,"abstract":"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.","PeriodicalId":210794,"journal":{"name":"Modern Economics & Management Forum","volume":"130 1","pages":""},"PeriodicalIF":0.0000,"publicationDate":"2023-11-21","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":"0","resultStr":"{\"title\":\"Can Volatility Risk Premia Improve Fama-French Three-Factor Model in the Explanation of Stock Index Returns? — Evidence from US Industrial Stock Indices\",\"authors\":\"Jihui Chen\",\"doi\":\"10.32629/memf.v4i3.1376\",\"DOIUrl\":null,\"url\":null,\"abstract\":\"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.\",\"PeriodicalId\":210794,\"journal\":{\"name\":\"Modern Economics & Management Forum\",\"volume\":\"130 1\",\"pages\":\"\"},\"PeriodicalIF\":0.0000,\"publicationDate\":\"2023-11-21\",\"publicationTypes\":\"Journal Article\",\"fieldsOfStudy\":null,\"isOpenAccess\":false,\"openAccessPdf\":\"\",\"citationCount\":\"0\",\"resultStr\":null,\"platform\":\"Semanticscholar\",\"paperid\":null,\"PeriodicalName\":\"Modern Economics & Management Forum\",\"FirstCategoryId\":\"1085\",\"ListUrlMain\":\"https://doi.org/10.32629/memf.v4i3.1376\",\"RegionNum\":0,\"RegionCategory\":null,\"ArticlePicture\":[],\"TitleCN\":null,\"AbstractTextCN\":null,\"PMCID\":null,\"EPubDate\":\"\",\"PubModel\":\"\",\"JCR\":\"\",\"JCRName\":\"\",\"Score\":null,\"Total\":0}","platform":"Semanticscholar","paperid":null,"PeriodicalName":"Modern Economics & Management Forum","FirstCategoryId":"1085","ListUrlMain":"https://doi.org/10.32629/memf.v4i3.1376","RegionNum":0,"RegionCategory":null,"ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":null,"EPubDate":"","PubModel":"","JCR":"","JCRName":"","Score":null,"Total":0}
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.