| 来源类型 | Discussion paper |
| 规范类型 | 论文 |
| 来源ID | DP10681 |
| DP10681 An Intertemporal CAPM with Stochastic Volatility | |
| John Y Campbell; Christopher Polk; Stefano Giglio | |
| 发表日期 | 2015-06-28 |
| 出版年 | 2015 |
| 语种 | 英语 |
| 摘要 | This paper studies the pricing of volatility risk using the first-order conditions of a long-term equity investor who is content to hold the aggregate equity market rather than tilting towards value stocks and other equity portfolios that are attractive to short-term investors. We show that a conservative long-term investor will avoid such overweights in order to hedge against two types of deterioration in investment opportunities: declining expected stock returns, and increasing volatility. Empirically, we present novel evidence that low-frequency movements in equity volatility, tied to the default spread, are priced in the cross-section of stock returns. |
| 主题 | Financial Economics |
| 关键词 | Icapm Time-varying expected returns stochastic volatility Value premium |
| URL | https://cepr.org/publications/dp10681 |
| 来源智库 | Centre for Economic Policy Research (United Kingdom) |
| 资源类型 | 智库出版物 |
| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/539513 |
| 推荐引用方式 GB/T 7714 | John Y Campbell,Christopher Polk,Stefano Giglio. DP10681 An Intertemporal CAPM with Stochastic Volatility. 2015. |
| 条目包含的文件 | 条目无相关文件。 | |||||
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