Dynamics of subjective risk premia *

• 成果类型: Article
• 署名作者: Nagel, Stefan; Xu, Zhengyang
• 署名单位: University of Chicago; National Bureau of Economic Research; Center for Economic & Policy Research (CEPR); Leibniz Association; Ifo Institut; City University of Hong Kong
• 刊物名称: JOURNAL OF FINANCIAL ECONOMICS
• ISSN/ISSBN: 0304-405X
• DOI: 10.1016/j.jfineco.2023.103713
• 发表日期: 2023
• 关键词: Return expectations; Subjective risk premia; Return predictability; survey data

摘要

We examine subjective risk premia implied by return expectations of individual investors and professionals for portfolios of stocks, bonds, currencies, and commodity futures. While in-sample predictive regressions with realized excess returns suggest that objective risk premia vary countercyclically with business-cycle and asset-valuation measures, subjective risk premia extracted from survey data are largely acyclical. Out-of-sample forecasts of ex -cess returns exhibit a similar lack of cyclicality, which suggests that investors' learning of forecasting relationships in real time may help explain the cyclicality gap. There is a sub-jective risk-return tradeoff, with subjective risk premia increasing in subjective perceptions of risk quantity. (c) 2023 Elsevier B.V. All rights reserved.