| 来源类型 | Discussion paper |
| 规范类型 | 论文 |
| 来源ID | DP13873 |
| DP13873 Correlation Risk, Strings and Asset Prices | |
| Antonio Mele; Walter Distaso; Grigory Vilkov | |
| 发表日期 | 2019-07-19 |
| 出版年 | 2019 |
| 语种 | 英语 |
| 摘要 | Standard asset pricing theories treat return volatility and correlations as two intimately related quantities, which hinders achieving a neat definition of a correlation premium. We introduce a model with a continuum of securities that have returns driven by a string. This model leads to new arbitrage pricing restrictions, according to which, holding any asset requires compensation for the granular exposure of this asset returns to changes in all other asset returns: an average correlation premium. We find that this correlation premium is both statistically and economically significant, and considerably fluctuates, driven by time-varying correlations and global market developments. The model explains the cross-section of expected returns and their counter-cyclicality without making reference to common factors affecting asset returns. It also explains the time-series behavior of the premium for the risk of changes in asset correlations (the correlation-risk premium), including its inverse relation with realized correlations. |
| 主题 | Financial Economics |
| 关键词 | Correlation premium Correlation-risk premium Cross-section of returns Arbitrage pricing String models Implied correlation |
| URL | https://cepr.org/publications/dp13873 |
| 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/542749 |
| 推荐引用方式 GB/T 7714 | Antonio Mele,Walter Distaso,Grigory Vilkov. DP13873 Correlation Risk, Strings and Asset Prices. 2019. |
| 条目包含的文件 | 条目无相关文件。 | |||||
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