Should Long-Term Investors Time Volatility?

• 成果类型: Article
• 署名作者: Moreira, Alan; Muir, Tyler
• 署名单位: University of Rochester; University of California System; University of California Los Angeles
• 刊物名称: JOURNAL OF FINANCIAL ECONOMICS
• ISSN/ISSBN: 0304-405X
• DOI: 10.1016/j.jfineco.2018.09.011
• 发表日期: 2019
• 页码: 507-527
• 关键词: volatility; portfolio choice; Market timing; mean reversion

摘要

A long-term investor who ignores variation in volatility gives up the equivalent of 2.4% of wealth per year. This result holds for a wide range of parameters that are consistent with US stock market data, and it is robust to estimation uncertainty. We propose and test a new channel, the volatility composition channel, for how investment horizon interacts with volatility timing. Investors respond substantially less to volatility variation if the amount of mean reversion in returns disproportionally increases with volatility and also if mean reversion happens quickly. We find that these conditions are unlikely to hold in the data. (C) 2018 Elsevier B.V. All rights reserved.