Downside Variance Risk Premium

被引：80

作者：

Feunou, Bruno ^{[1
]}

Jahan-Parvar, Mohammad R. ^{[2
]}

Okou, Cedric ^{[3
]}

机构：

[1] Bank Canada, Ottawa, ON, Canada

[2] Fed Reserve Board, Toronto, ON, Canada

[3] Univ Quebec Montreal, Montreal, PQ, Canada

来源：

JOURNAL OF FINANCIAL ECONOMETRICS | 2018年 / 16卷 / 03期

关键词：

downside and upside variance risk premium; realized volatility; risk-neutral volatility; skewness risk premium; EXPECTED STOCK RETURNS; LONG-RUN; REALIZED VOLATILITY; CROSS-SECTION; ASSET PRICES; DYNAMICS; UNCERTAINTY; JUMPS; MODEL; CONSUMPTION;

D O I：

10.1093/jjfinec/nbx020

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

摘要：

We propose a new decomposition of the variance risk premium (VRP) in terms of upside and downside VRPs. These components reflect market compensation for changes in good and bad uncertainties. Empirically, we establish that the downside VRP is the main component of the VRP. We find a positive and significant link between the downside VRP and the equity premium, and a negative but statistically insignificant link between the upside VRP and the equity premium. The opposite relationships between these two components and the equity premium explains the stronger link found between the downside VRP and the equity premium compared with the well-established relationship between VRP and the equity premium. A simple equilibrium consumption-based asset pricing model, fitted to the U. S. data, supports our decomposition.

引用

页码：341 / 383

页数：43

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