| 来源类型 | Working Paper |
| 规范类型 | 报告 |
| DOI | 10.3386/w27108 |
| 来源ID | Working Paper 27108 |
| The Variance Risk Premium in Equilibrium Models | |
| Geert Bekaert; Eric Engstrom; Andrey Ermolov | |
| 发表日期 | 2020-05-11 |
| 出版年 | 2020 |
| 语种 | 英语 |
| 摘要 | The equity variance risk premium is the expected compensation earned for selling variance risk in equity markets. The variance risk premium is positive and shows moderate persistence. High variance risk premiums coincide with the left tail of the consumption growth distribution shifting down. These facts, together with a positive, yet moderate, difference between the risk-neutral entropy and variance of the aggregate market return, refute the bulk of the extant consumption-based asset pricing models. We introduce a tractable habit model that does fit the data. In the model, the variance risk premium depends positively (negatively) on “bad” (“good”) consumption growth uncertainty. |
| 主题 | Macroeconomics ; Money and Interest Rates ; Financial Economics ; Portfolio Selection and Asset Pricing ; Financial Markets |
| URL | https://www.nber.org/papers/w27108 |
| 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/584781 |
| 推荐引用方式 GB/T 7714 | Geert Bekaert,Eric Engstrom,Andrey Ermolov. The Variance Risk Premium in Equilibrium Models. 2020. |
| 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 | ||
| w27108.pdf（664KB） | 智库出版物 | 限制开放 | CC BY-NC-SA | 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。
