Financial Markets with Trade on Risk and Return

• 成果类型: Article
• 署名作者: Smith, Kevin
• 署名单位: Stanford University
• 刊物名称: REVIEW OF FINANCIAL STUDIES
• ISSN/ISSBN: 0893-9454
• DOI: 10.1093/rfs/hhz013
• 发表日期: 2019
• 页码: 4041
• 关键词: rational-expectations equilibrium; OPTION VOLUME; information acquisition; cross-section; STOCK; volatility; dispersion; opinion; aggregation; prices

摘要

In this paper, I develop a model in which risk-averse investors possess private information regarding both a stock's expected payoff and its risk. These investors trade in the stock and a derivative whose payoff is driven by the stock's risk. In equilibrium, the derivative is used to speculate on the stock's risk and to hedge against adverse fluctuations in the stock's risk. I analyze the derivative price and variance risk premium that arise in this equilibrium and their predictive power for stock returns. Finally, I examine the relationship between prices and trading volume in the stock and derivative.