دانلود مقاله ISI انگلیسی شماره 147476
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قیمت خطای واریانس

عنوان انگلیسی
The price of variance risk
کد مقاله سال انتشار تعداد صفحات مقاله انگلیسی
147476 2017 26 صفحه PDF
منبع

Publisher : Elsevier - Science Direct (الزویر - ساینس دایرکت)

Journal : Journal of Financial Economics, Volume 123, Issue 2, February 2017, Pages 225-250

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پیش نمایش مقاله  قیمت خطای واریانس

چکیده انگلیسی

Between 1996 and 2014, it was costless on average to hedge news about future variance at horizons ranging from 1 quarter to 14 years. Only unexpected, transitory realized variance was significantly priced. These results present a challenge to many structural models of the variance risk premium, such as the intertemporal CAPM and recent models with Epstein–Zin preferences and long-run risks. The results are also difficult to reconcile with macro models in which volatility affects investment decisions. At the same time, the data allows us to distinguish between different disaster models; a model in which the stock market has a time-varying exposure to disasters and investors have power utility fits the major features of the variance term structure.