EXCESS VOLATILITY: BEYOND DISCOUNT RATES

• 成果类型: Article
• 署名作者: Giglio, Stefano; Kelly, Bryan
• 署名单位: Yale University; National Bureau of Economic Research; University of Chicago; National Bureau of Economic Research
• 刊物名称: QUARTERLY JOURNAL OF ECONOMICS
• ISSN/ISSBN: 0033-5533
• DOI: 10.1093/qje/qjx034
• 发表日期: 2018
• 页码: 71-127
• 关键词: term interest-rates; TIME-VARYING RISK; stock-prices; expectations; variance; returns; models; tests; DECOMPOSITION; INFORMATION

摘要

We document a form of excess volatility that is difficult to reconcile with standard models of prices, even after accounting for variation in discount rates. We compare prices of claims on the same cash flow stream but with different maturities. Standardmodels impose precise internal consistency conditions on the joint behavior of long- and short-maturity claims and these are strongly rejected in the data. In particular, long-maturity prices are significantly more variable than justified by the behavior at short maturities. We reject internal consistency conditions in all term structures that we study, including equity options, currency options, credit default swaps, commodity futures, variance swaps, and inflation swaps.