G2TT
来源类型Discussion paper
规范类型论文
来源IDDP13873
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
URLhttps://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.
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