全球智库信息集成服务系统(G2TT): Volatility Expectations and Returns

G2TT

来源类型	Working Paper
规范类型	报告
DOI	10.3386/w28102
来源ID	Working Paper 28102
	Volatility Expectations and Returns
	Lars A. Lochstoer; Tyler Muir
发表日期	2020-11-16
出版年	2020
语种	英语
摘要	We provide evidence that agents have slow-moving beliefs about stock market volatility that lead to initial underreaction to volatility shocks followed by delayed overreaction. These dynamics are mirrored in the VIX and variance risk premiums which reflect investor expectations about volatility and are also supported in surveys and in firm-level option prices. We embed these expectations into an asset pricing model and find that the model can account for a number of stylized facts about market returns and return volatility which are difficult to reconcile, including a weak, or even negative, risk-return tradeoff.
主题	Financial Economics ; Portfolio Selection and Asset Pricing ; Behavioral Finance
URL	https://www.nber.org/papers/w28102
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/585776
推荐引用方式 GB/T 7714	Lars A. Lochstoer,Tyler Muir. Volatility Expectations and Returns. 2020.