| 来源类型 | Discussion paper
|
| 规范类型 | 论文
|
| 来源ID | DP17064
|
| DP17064 Dynamics of Subjective Risk Premia |
| Stefan Nagel; Zhengyang Xu
|
| 发表日期 | 2022-02-23
|
| 出版年 | 2022
|
| 语种 | 英语
|
| 摘要 | We examine subjective risk premia implied by return expectations of individual investors and professionals for aggregate portfolios of stocks, bonds, currencies, and commodity futures. While in-sample predictive regressions with realized excess returns suggest that objective risk premia vary countercyclically with business cycle variables and aggregate asset valuation measures, subjective risk premia extracted from survey data do not comove much with these variables. This lack of cyclicality of subjective risk premia is a pervasive property that holds in expectations of different groups of market participants and in different asset classes. A similar lack of cyclicality appears in out-of-sample fore- casts of excess returns, which suggests that investors’ learning of forecasting relationships in real time may explain much of the cyclicality gap. These findings cast doubt on models that explain time-varying objective risk premia inferred from in-sample regressions with countercyclical variation in perceived risk or risk aversion. We further find a link between subjective perceptions of risk and subjective risk premia, which points toward a positive risk-return tradeoff in subjective beliefs. |
| 主题 | Financial Economics
; Monetary Economics and Fluctuations
|
| URL | https://cepr.org/publications/dp17064
|
| 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/546026
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推荐引用方式
GB/T 7714 |
Stefan Nagel,Zhengyang Xu. DP17064 Dynamics of Subjective Risk Premia. 2022.
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