The intertemporal capital asset pricing model with dynamic conditional correlations

• 成果类型: Article
• 署名作者: Bali, Turan G.; Engle, Robert F.
• 署名单位: City University of New York (CUNY) System; Baruch College (CUNY); New York University
• 刊物名称: JOURNAL OF MONETARY ECONOMICS
• ISSN/ISSBN: 0304-3932
• DOI: 10.1016/j.jmoneco.2010.03.002
• 发表日期: 2010
• 页码: 377-390
• 关键词: ICAPM; Dynamic conditional correlation; ARCH; risk aversion; Risk factors

摘要

The intertemporal capital asset pricing model of Merton (1973) is examined using the dynamic conditional correlation (DCC) model of Engle (2002). The mean-reverting DCC model is used to estimate a stock's (portfolio's) conditional covariance with the market and test whether the conditional covariance predicts time-variation in the stock's (portfolio's) expected return. The risk-aversion coefficient, restricted to be the same across assets in panel regression, is estimated to be between two and four and highly significant. The risk premium induced by the conditional covariation of assets with the market portfolio remains positive and significant after controlling for risk premia induced by conditional covariation with macroeconomic, financial, and volatility factors. (C) 2010 Elsevier B.V. All rights reserved.