Are investors more risk-averse during recessions?
Are investors more risk-averse during recessions?
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经济衰退期间投资者是否更愿意规避风险？
DOI：
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发表时间：
2006
期刊：
影响因子：
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通讯作者：
Hui Guo
中科院分区：
文献类型：
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作者：
Hui Guo
所表达的观点不一定反映联邦储备系统的官方立场。金融市场的观察家们早就注意到，在经济衰退之前和期间，股票市场的价格指数往往会急剧下跌。从理论上讲，股票的价格等于其贴现的预期未来股息的总和，贴现率是预期的总股票收益。因此，人们很容易认为，当经济变弱时，股票价格的急剧下跌反映了预期未来股息的减少。然而，许多研究发现，股息的周期性波动幅度太小，无法解释如此大的股票市场价格波动。一种可能的解释是，股票价格的大幅变化可能伴随着投资者对风险态度的波动。例如，许多评论家经常认为，投资者在20世纪90年代末股票价格大幅上涨期间表现出非理性繁荣，而在20世纪30年代初的大萧条期间，他们过于悲观。坎贝尔和科克伦（1999）将这一观点形式化为一个模型：当经济陷入衰退时，投资者维持其习惯生活水平的资源减少，因此不太愿意承担金融风险。为了诱导他们持有股票而不是无风险的短期国库券，对于给定的股票市场风险水平，预期的股权溢价必须增加。[1]因此，股票价格在衰退期间下跌，因为由于股权溢价的增加，股息的贴现率更高。Lettau和Ludvigson（2003）为这一解释提供了一些经验证据。他们使用预期股票市场波动率来衡量股票市场风险，该波动率衡量广泛股票市场价格指数波动的大小和频率。当股票价格预期将更加波动时，风险厌恶型投资者将减少其股票持有量，因为出现大量资本损失的机会变得更高。只有当投资者得到更高的股权溢价补偿时，他们才会像以前一样持有相同数量的股票。因此，人们可以使用预期股权溢价与预期波动率的比率--通常称为夏普比率--来衡量股东的风险承受能力。例如，对于给定的预期股票市场波动水平，投资者要求更高的股票溢价，因此如果他们变得更厌恶风险，就需要更高的夏普比率。在所附图表中，我们使用1952年第二季度至2004年第四季度的更新数据复制了Lettau和Ludvigson（2003）的图3。阴影区域表示由国家经济研究局（National Bureau of Economic Research）标注日期的商业衰退。我们发现，夏普比率表现出很大的变化，随着时间的推移。更重要的是，在52年的样本中，它在每次经济衰退之前和期间都会大幅增加。这种模式似乎与投资者更厌恶风险的推测一致，因此在经济衰退期间持有股票要求更高的回报。
Views expressed do not necessarily reflect official positions of the Federal Reserve System. Observers of financial markets have long noted that broad stock market price indices tend to fall steeply immediately before and during recessions. In theory, a stock’s price is equal to the sum of its discounted expected future dividends, and the discount rate is the expected gross stock return. Thus, it is tempting to suggest that, when the economy becomes weaker, the sharp decrease in stock prices reflects the reduction in expected future dividends. However, many studies have found that the magnitude of the cyclical fluctuation in dividends is too small to account for such large stock market price movements. One possible explanation is that large changes in stock prices might be accompanied by swings in investors’ attitude toward risk. For example, many commentators have routinely suggested that investors exhibited irrational exuberance during the dramatic stock price run-up in the late 1990s, while they were overly pessimistic during the Great Depression in the early 1930s. Campbell and Cochrane (1999) have formalized the idea in a model: When the economy goes into recession, investors have fewer resources to maintain their accustomed living standards and thus are less willing to bear financial risk. To induce them to hold stocks instead of risk-free short-term Treasury bills, for a given level of stock market risk, the expected equity premium must increase.1 Therefore, stock prices fall during recessions because dividends are discounted by a higher rate as a result of the increase in the equity premium. Lettau and Ludvigson (2003) provide some empirical evidence for this explanation. They use expected stock market volatility, which measures the size and frequency of fluctuations in a broad stock market price index, as a gauge of stock market risk. When stock prices are expected to be more volatile, risk-averse investors will reduce their stock holdings because the chance of having a large capital loss becomes higher. Investors will hold the same amount of stocks as they did before only if they are compensated by a higher equity premium. Thus, one can use the ratio of the expected equity premium to the expected volatility—which is commonly known as the Sharpe ratio—as a measure of shareholders’ risk tolerance. For example, for a given level of expected stock market volatility, investors require a higher equity premium and thus a higher Sharpe ratio if they become more risk-averse. In the accompanying chart, we replicate Figure 3 of Lettau and Ludvigson (2003) using updated data from 1952:Q2–2004:Q4. The shaded area indicates business recessions dated by the National Bureau of Economic Research. We find that the Sharpe ratio exhibits substantial variation across time. More importantly, it increases dramatically just before and during every recession in the 52-year sample. This pattern appears to be consistent with the conjecture that investors are more risk-averse and thus demand a higher return for holding stocks during economic downturns.