跳跃式杠杆风险溢价

IF 10.4 1区经济学 Q1 BUSINESS, FINANCE

Journal of Financial Economics Pub Date : 2023-10-09 DOI:10.1016/j.jfineco.2023.103723

Tim Bollerslev , Viktor Todorov

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引用次数: 2

摘要

资产价格的跳跃无处不在，但从经验上观察到的跳跃风险的明显高价通常被认为是令人困惑的。我们开发了新的无模型短期风险中性方差展开，使我们能够清楚地描述跳跃在产生价格和方差风险方面的重要性。我们发现，价格的同时跳跃和市场的随机波动性和/或跳跃强度要求相当大的风险溢价。在基于均衡的模型中，“跳跃杠杆”风险溢价的存在可以通过基础基本面的条件时刻的跳跃和/或投资者风险厌恶的变化来合理化。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

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The jump leverage risk premium

Jumps in asset prices are ubiquitous, yet the apparent high price of jump risk observed empirically is commonly viewed as puzzling. We develop new model-free short-time risk-neutral variance expansions, allowing us to clearly delineate the importance of jumps in generating both price and variance risks. We find that simultaneous jumps in the price and the stochastic volatility and/or jump intensity of the market commands a sizeable risk premium. The existence of “jump leverage” risk premium may be rationalized in the context of equilibrium-based models by jumps in the conditional moments of the underlying fundamentals and/or changes in investors' risk aversion.

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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.