The Variance Risk Premium: Components, Term Structures, and Stock Return Predictability
The Variance Risk Premium: Components, Term Structures, and Stock Return Predictability
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DOI：
10.1080/07350015.2016.1191502
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发表时间：
2016-03
影响因子：
3
通讯作者：
Junye Li;Gabriele Zinna
中科院分区：
文献类型：
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作者：
Junye Li;Gabriele Zinna
本文研究方差风险溢价（VRP）的性质。我们提出了一个灵活的资产定价模型，捕捉价格和波动性的共同跳跃，自激跳跃集群。我们估计模型的股票收益率和方差互换率在不同的视野。总VRP为负，具有向下倾斜的期限结构，而其跳跃分量显示向上倾斜的期限结构。短期跳跃VRP对极端事件的突然和持续反应使这一特定溢价成为投资者对市场崩溃恐惧的代理。此外，使用VRP水平和斜率，及其组件，有助于提高股票超额收益的短期可预测性。
This article examines the properties of the variance risk premium (VRP). We propose a flexible asset pricing model that captures co-jumps in prices and volatility, and self-exciting jump clustering. We estimate the model on equity returns and variance swap rates at different horizons. The total VRP is negative and has a downward-sloping term structure, while its jump component displays an upward-sloping term structure. The abrupt and persistent response of the short-term jump VRP to extreme events makes this specific premium a proxy for investors’ fear of a market crash. Furthermore, the use of the VRP level and slope, and of its components, helps improve the short-run predictability of equity excess returns.