Ambiguity Aversion and Variance Premium
Ambiguity Aversion and Variance Premium
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歧义厌恶和方差溢价
DOI：
10.2139/ssrn.2023765
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发表时间：
2012
影响因子：
0.7
通讯作者：
Hao Zhou
中科院分区：
文献类型：
--
作者：
Jianjun Miao;Bin Wei;Hao Zhou
本文提供了一个基于歧义的解释方差溢价-风险中性和市场回报方差的客观预期之间的差异-作为一个复合效应的信念扭曲和方差差关于不确定的经济制度。我们的校准模型可以匹配数据中的方差溢价，股权溢价和无风险利率。我们发现，约97%的均值方差溢价可以归因于模糊厌恶。模糊厌恶，风险厌恶和跨期替代之间的三向分离，允许平滑模糊偏好，在我们的模型的定量性能中起着关键作用。
This paper offers an ambiguity-based interpretation of the variance premium — the difference between risk-neutral and objective expectations of market return variance — as a compounding effect of both belief distortion and variance differential regarding the uncertain economic regimes. Our calibrated model can match the variance premium, the equity premium, and the risk-free rate in the data. We find that about 97% of the mean–variance premium can be attributed to ambiguity aversion. A three-way separation among ambiguity aversion, risk aversion, and intertemporal substitution, permitted by the smooth ambiguity preferences, plays a key role in our model’s quantitative performance.