有条件风险

IF 10.4 1区经济学 Q1 BUSINESS, FINANCE

Journal of Financial Economics Pub Date : 2024-09-20 DOI:10.1016/j.jfineco.2024.103933

Niels Joachim Gormsen , Christian Skov Jensen

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引用次数: 0

摘要

我们研究了市场押注的时差对 CAPM 系数估计值的影响程度。考虑到观察到的条件市场押注、市场风险溢价和市场方差的变化，理论上条件市场风险所需的补偿可能与无条件股票溢价一样大。我们在广泛的全球样本中使用最先进的方法实现了条件 CAPM。我们发现，对条件风险的考虑有助于解释我们所考虑的所有主要异常情况的回报，而且近年来条件风险可以解释价值策略、投资策略和动量策略两个百分点的阿尔法。

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Conditional risk

We study the extent to which time-variation in market betas influence estimates of CAPM alphas. Given the observed variation in conditional market betas, market risk premia, and market variance, the required compensation for conditional market risk can, in theory, be as large as the unconditional equity premium. We implement the conditional CAPM using state-of-the-art methods in a broad global sample. We find that accounting for conditional risk helps explain the return on all the major anomalies we consider and that conditional risk explains two percentage points of alpha for value, investment, and momentum strategies in recent years.

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来源期刊

Journal of Financial Economics Multiple-

CiteScore

15.80

自引率

4.50%

发文量

192

审稿时长

37 days

期刊介绍： The Journal of Financial Economics provides a specialized forum for the publication of research in the area of financial economics and the theory of the firm, placing primary emphasis on the highest quality analytical, empirical, and clinical contributions in the following major areas: capital markets, financial institutions, corporate finance, corporate governance, and the economics of organizations.