| 来源类型 | Working Paper |
| 规范类型 | 报告 |
| DOI | 10.3386/w18411 |
| 来源ID | Working Paper 18411 |
| An Intertemporal CAPM with Stochastic Volatility | |
| John Y. Campbell; Stefano Giglio; Christopher Polk; Robert Turley | |
| 发表日期 | 2012-09-21 |
| 出版年 | 2012 |
| 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 tilts 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 ; Portfolio Selection and Asset Pricing ; History ; Financial History |
| URL | https://www.nber.org/papers/w18411 |
| 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/576087 |
| 推荐引用方式 GB/T 7714 | John Y. Campbell,Stefano Giglio,Christopher Polk,et al. An Intertemporal CAPM with Stochastic Volatility. 2012. |
| 条目包含的文件 | ||||||
| 文件名称/大小 | 资源类型 | 版本类型 | 开放类型 | 使用许可 | ||
| w18411.pdf（447KB） | 智库出版物 | 限制开放 | CC BY-NC-SA | 浏览 | ||
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