小风险和大风险的不确定性溢价

IF 3.6 2区 经济学 Q1 BUSINESS, FINANCE
Martin Puhl , Pavel Savor , Mungo Wilson
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引用次数: 0

摘要

我们建立的模型表明,平稳的模糊厌恶对与持有期无关的大风险的影响是一阶重要的,而与持有期成正比的风险则不同。为了验证这一假设,我们根据期权隐含偏好凹性的变化,构建了不确定性价格的事前度量。正如我们的模型所预测的那样,我们发现在代表巨大风险的宏观经济公告发布之前,这种凹性会增加。我们还提供了相对模糊厌恶系数的估计值,并展示了不确定性在不同公告中的变化情况。我们的结果表明,宏观经济公告溢价的产生至少部分是由于不确定性价格的上升。其含义之一是,证券市场的一个基本好处是通过频繁交易将大风险分解为小风险,从而降低贴现率。
本文章由计算机程序翻译,如有差异,请以英文原文为准。
Uncertainty premia for small and large risks

We develop a model showing that the effect of smooth ambiguity aversion on large risks, those that are independent of the holding period, is of first-order importance, in contrast to risks that are proportional to the holding period. To test this hypothesis, we construct an ex-ante measure of the price of uncertainty based on changes in the option-implied concavity of preferences. As predicted by our model, we find that such concavity increases ahead of scheduled macroeconomic announcements, which represent large risks. We also provide an estimate of the coefficient of relative ambiguity aversion and show how uncertainty varies across different announcements. Our results suggest that the macroeconomic announcement premium arises at least partly because of an increase in the price of uncertainty. One implication is that a fundamental benefit of securities markets is that they break large risks into small ones by allowing frequent trading, thereby reducing discount rates.

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来源期刊
CiteScore
6.40
自引率
5.40%
发文量
262
期刊介绍: The Journal of Banking and Finance (JBF) publishes theoretical and empirical research papers spanning all the major research fields in finance and banking. The aim of the Journal of Banking and Finance is to provide an outlet for the increasing flow of scholarly research concerning financial institutions and the money and capital markets within which they function. The Journal''s emphasis is on theoretical developments and their implementation, empirical, applied, and policy-oriented research in banking and other domestic and international financial institutions and markets. The Journal''s purpose is to improve communications between, and within, the academic and other research communities and policymakers and operational decision makers at financial institutions - private and public, national and international, and their regulators. The Journal is one of the largest Finance journals, with approximately 1500 new submissions per year, mainly in the following areas: Asset Management; Asset Pricing; Banking (Efficiency, Regulation, Risk Management, Solvency); Behavioural Finance; Capital Structure; Corporate Finance; Corporate Governance; Derivative Pricing and Hedging; Distribution Forecasting with Financial Applications; Entrepreneurial Finance; Empirical Finance; Financial Economics; Financial Markets (Alternative, Bonds, Currency, Commodity, Derivatives, Equity, Energy, Real Estate); FinTech; Fund Management; General Equilibrium Models; High-Frequency Trading; Intermediation; International Finance; Hedge Funds; Investments; Liquidity; Market Efficiency; Market Microstructure; Mergers and Acquisitions; Networks; Performance Analysis; Political Risk; Portfolio Optimization; Regulation of Financial Markets and Institutions; Risk Management and Analysis; Systemic Risk; Term Structure Models; Venture Capital.
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