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来源类型Working Paper
规范类型报告
DOI10.3386/w21182
来源IDWorking 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
URLhttps://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.
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