股权风险溢价的期限结构：杠杆噪声和新的估计

IF 5.6 2区经济学 Q1 BUSINESS, FINANCE

Review of Finance Pub Date : 2022-09-19 DOI:10.1093/rof/rfac062

Oliver Boguth, Murray D. Carlson, Adlai J. Fisher, Mikhail Simutin

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引用次数: 0

摘要

当没有套利复制对冲基本面但放大价格误差时，就会出现杠杆噪音。受我们理论的启发，我们使用广泛可用的当日收盘OptionMetrics数据来提高综合股息条价格的准确性，并提供比先前研究更长的样本。在简单回报中，期限结构点估计大致持平（88对87 短期股息与指数的bp/月），以及向上倾斜的测量误差稳健对数回报（43对77 bp/月）。这些来自突出指数期权的结果表明了诊断无套利价格中噪声的重要性。先前关于股权期限结构平均向下倾斜的结论并不可靠。

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The Term Structure of Equity Risk Premia: Levered Noise and New Estimates

Levered noise occurs when no-arbitrage replication hedges fundamentals but amplifies price errors. Motivated by our theory, we use widely-available end-of-day OptionMetrics data to improve accuracy of synthetic dividend strip prices and provide longer samples than prior studies. Term-structure point estimates are approximately flat in simple returns (88 vs. 87 bp/month for short-term dividends vs. index), and upward-sloping in measurement-error-robust logarithmic returns (43 vs. 77 bp/month). These results from prominent index options show the importance of diagnosing noise in no-arbitrage prices. Prior conclusions of an average downward slope in the equity term structure are not robust.

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来源期刊

Review of Finance Multiple-

CiteScore

7.80

自引率

2.30%

发文量

期刊介绍： The Review of Finance, the official journal of the European Finance Association, aims at a wide circulation and visibility in the finance profession. The journal publishes high-quality papers in all areas of financial economics, both established and newly developing fields: • •Asset pricing •Corporate finance •Banking and market microstructure •Law and finance •Behavioral finance •Experimental finance Review of Finance occasionally publishes special issues on timely topics, including selected papers presented at the meetings of the European Finance Association or at other selected conferences in the field.