| 来源类型 | Working Paper
|
| 规范类型 | 报告
|
| DOI | 10.3386/w9927
|
| 来源ID | Working Paper 9927
|
| Uncovering the Risk-Return Relation in the Stock Market |
| Hui Guo; Robert F. Whitelaw
|
| 发表日期 | 2003-08-25
|
| 出版年 | 2003
|
| 语种 | 英语
|
| 摘要 | There is an ongoing debate in the literature about the apparent weak or negative relation between risk (conditional variance) and return (expected returns) in the aggregate stock market. We develop and estimate an empirical model based on the ICAPM to investigate this relation. Our primary innovation is to model and identify empirically the two components of expected returns--the risk component and the component due to the desire to hedge changes in investment opportunities. We also explicitly model the effect of shocks to expected returns on ex post returns and use implied volatility from traded options to increase estimation efficiency. As a result, the coefficient of relative risk aversion is estimated more precisely, and we find it to be positive and reasonable in magnitude. Although volatility risk is priced, as theory dictates, it contributes only a small amount to the time-variation in expected returns. Expected returns are driven primarily by the desire to hedge changes in investment opportunities. It is the omission of this hedge component that is responsible for the contradictory and counter-intuitive results in the existing literature. |
| 主题 | Financial Economics
; Financial Markets
|
| URL | https://www.nber.org/papers/w9927
|
| 来源智库 | National Bureau of Economic Research (United States)
|
| 引用统计 |
|
| 资源类型 | 智库出版物
|
| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/567552
|
推荐引用方式
GB/T 7714 |
Hui Guo,Robert F. Whitelaw. Uncovering the Risk-Return Relation in the Stock Market. 2003.
|
|
文件名：
|
w9927.pdf
|
|
格式：
|
Adobe PDF
|
此文件暂不支持浏览
除非特别说明，本系统中所有内容都受版权保护，并保留所有权利。
