| 来源类型 | Working Paper |
| 规范类型 | 报告 |
| DOI | 10.3386/w29195 |
| 来源ID | Working Paper 29195 |
| When Uncertainty and Volatility Are Disconnected: Implications for Asset Pricing and Portfolio Performance | |
| Yacine Aït-Sahalia; Felix Matthys; Emilio Osambela; Ronnie Sircar | |
| 发表日期 | 2021-08-30 |
| 出版年 | 2021 |
| 语种 | 英语 |
| 摘要 | We analyze an environment where the uncertainty in the equity market return and its volatility are both stochastic, and may be potentially disconnected. We solve a representative investor's optimal asset allocation and derive the resulting conditional equity premium and risk-free rate in equilibrium. Our empirical analysis shows that the equity premium appears to be earned for facing uncertainty, especially high uncertainty that is disconnected from lower volatility, rather than for facing volatility as traditionally assumed. Incorporating the possibility of a disconnect between volatility and uncertainty significantly improves portfolio performance, over and above the performance obtained by conditioning on volatility only. |
| 主题 | Financial Economics ; Portfolio Selection and Asset Pricing |
| URL | https://www.nber.org/papers/w29195 |
| 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/586868 |
| 推荐引用方式 GB/T 7714 | Yacine Aït-Sahalia,Felix Matthys,Emilio Osambela,et al. When Uncertainty and Volatility Are Disconnected: Implications for Asset Pricing and Portfolio Performance. 2021. |
| 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 | ||
| w29195.pdf（716KB） | 智库出版物 | 限制开放 | CC BY-NC-SA | 浏览 | ||
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