| 来源类型 | Working Paper |
| 规范类型 | 报告 |
| DOI | 10.3386/w21182 |
| 来源ID | Working Paper 21182 |
| The Price of Variance Risk | |
| Ian Dew-Becker; Stefano Giglio; Anh Le; Marius Rodriguez | |
| 发表日期 | 2015-05-18 |
| 出版年 | 2015 |
| 语种 | 英语 |
| 摘要 | In the period 1996-2014, the average investor in the variance swap market was indifferent to news about future variance at horizons ranging from 1 month to 14 years. It is only purely transitory and unexpected realized variance that were priced. These results present a challenge to most structural models of the variance risk premium, such as the intertemporal CAPM, recent models with Epstein-Zin preferences and long-run risks, and models where institutional investors have value-at-risk constraints. The results also have strong implications for macro models where volatility affects investment decisions, suggesting that investors are not willing to pay to hedge shocks in expected economic uncertainty. |
| 主题 | Macroeconomics ; Money and Interest Rates ; Financial Economics ; Portfolio Selection and Asset Pricing |
| URL | https://www.nber.org/papers/w21182 |
| 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/578855 |
| 推荐引用方式 GB/T 7714 | Ian Dew-Becker,Stefano Giglio,Anh Le,et al. The Price of Variance Risk. 2015. |
| 条目包含的文件 | 条目无相关文件。 | |||||
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