Frequency dependent risk

• 成果类型: Article
• 署名作者: Neuhierl, Andreas; Varneskov, Rasmus T.
• 署名单位: Washington University (WUSTL); Copenhagen Business School; CREATES; Danish Finance Institute
• 刊物名称: JOURNAL OF FINANCIAL ECONOMICS
• ISSN/ISSBN: 0304-405X
• DOI: 10.1016/j.jfineco.2021.01.007
• 发表日期: 2021
• 关键词: Asset pricing; factor models; Nonparametric measures; Spectral Analysis

摘要

We provide a model-free framework for studying the dynamics of the state vector and its risk prices. Specifically, we derive a frequency domain decomposition of the unconditional asset return premium in a general setting with a log-affine stochastic discount factor (SDF). Importantly, we show that the cospectrum between returns and the SDF only displays frequency dependencies through the state vector and that its dynamics and risk prices can be inferred from covariances between asset (portfolio) returns, that is, from the cross-section. Empirically, we find low and high-frequency state vector risk to be differentially priced for US equities. (C) 2021 Elsevier B.V. All rights reserved.