دانلود مقاله ISI انگلیسی شماره 45369
عنوان فارسی مقاله

بلند و کوتاه از ریسک بازده تجارت پایاپای

کد مقاله سال انتشار مقاله انگلیسی ترجمه فارسی تعداد کلمات
45369 2015 13 صفحه PDF سفارش دهید محاسبه نشده
خرید مقاله
پس از پرداخت، فوراً می توانید مقاله را دانلود فرمایید.
عنوان انگلیسی
The long and the short of the risk-return trade-off ☆
منبع

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

Journal : Journal of Econometrics, Volume 187, Issue 2, August 2015, Pages 580–592

کلمات کلیدی
تعادل قیمت گذاری دارایی - زمان کل - اقدامات تحقق یافته
پیش نمایش مقاله
پیش نمایش مقاله بلند و کوتاه از ریسک بازده تجارت پایاپای

چکیده انگلیسی

The relationship between conditional volatility and expected stock market returns, the so-called risk-return trade-off, has been studied at high- and low-frequency. We propose an asset pricing model with generalized disappointment aversion preferences and short- and long-run volatility risks that captures several stylized facts associated with the risk-return trade-off at short and long horizons. Writing the model in Bonomo et al. (2011) at the daily frequency, we aim at reproducing the moments of the variance premium and realized volatility, the long-run predictability of cumulative returns by the past cumulative variance, the short-run predictability of returns by the variance premium, as well as the daily autocorrelation patterns at many lags of the VIXVIX and of the variance premium, and the daily cross-correlations of these two measures with leads and lags of daily returns. By keeping the same calibration as in this previous paper, we ensure that the model is capturing the first and second moments of the equity premium and the risk-free rate, and the predictability of returns by the dividend yield. Overall adding generalized disappointment aversion to the Kreps–Porteus specification improves the fit for both the short-run and the long-run risk-return trade-offs.

خرید مقاله
پس از پرداخت، فوراً می توانید مقاله را دانلود فرمایید.