WHAT IS THE EXPECTED RETURN ON THE MARKET?
WHAT IS THE EXPECTED RETURN ON THE MARKET?
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DOI：
10.1093/qje/qjw034
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发表时间：
2017-02-01
影响因子：
13.7
通讯作者：
Martin, Ian
中科院分区：
文献类型：
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作者：
Martin, Ian
我根据波动率指数SVIX得出了股权溢价的下限，该指数可从指数期权价格计算得出。这个下限意味着股权溢价极具波动性，并且在2008年危机最严重时超过了20%。下限的时间序列平均值约为5%，这表明该下限可能大致是严格的。我进行了预测回归，发现数据并未拒绝这一假设，因此我将SVIX指数用作股权溢价的代理指标，并认为在压力时期可获得的高股权溢价在很大程度上反映了短期内的高预期回报。我还提供了一种市场崩溃概率的度量，并引入了简单的方差互换，这是基于SVIX的可交易合约，是方差互换的可靠替代方案。
I derive a lower bound on the equity premium in terms of a volatility index, SVIX, that can be calculated from index option prices. The bound implies that the equity premium is extremely volatile and that it rose above 20% at the height of the crisis in 2008. The time-series average of the lower bound is about 5%, suggesting that the bound may be approximately tight. I run predictive regressions and find that this hypothesis is not rejected by the data, so I use the SVIX index as a proxy for the equity premium and argue that the high equity premia available at times of stress largely reflect high expected returns over the very short run. I also provide a measure of the probability of a market crash, and introduce simple variance swaps, tradable contracts based on SVIX that are robust alternatives to variance swaps.