Should investors learn about the timing of equity risk?

• 成果类型: Article
• 署名作者: Hasler, Michael; Khapko, Mariana; Marfe, Roberto
• 署名单位: University of Toronto; Collegio Carlo Alberto
• 刊物名称: JOURNAL OF FINANCIAL ECONOMICS
• ISSN/ISSBN: 0304-405X
• DOI: 10.1016/j.jfineco.2018.11.011
• 发表日期: 2019
• 页码: 182-204
• 关键词: portfolio choice; learning; Short-term risks; Long-term risks

摘要

The term structure of equity risk has been shown to be downward sloping. We capture this feature using return dynamics driven by both a transitory and a permanent component. We study the asset allocation and portfolio performance when transitory and permanent components cannot be observed and therefore need to be estimated. Strategies that account for the observed timing of equity risk outperform those that do not, particularly so out of sample. Indeed, the mean (median) certainty equivalent return increases from about 13% (12%) to about 21% (15%) because properly modeling the timing of equity risk implies surges in portfolio returns. (C) 2018 Elsevier B.V. All rights reserved.