An intertemporal CAPM with stochastic volatility
成果类型：
Article
署名作者：
Campbell, John Y.; Giglio, Stefano; Polk, Christopher; Turley, Robert
署名单位：
Harvard University; National Bureau of Economic Research; Yale University; University of London; London School Economics & Political Science
刊物名称：
JOURNAL OF FINANCIAL ECONOMICS
ISSN/ISSBN：
0304-405X
DOI：
10.1016/j.jfineco.2018.02.011
发表日期：
2018
页码：
207-233
关键词：
摘要：
This paper studies the pricing of volatility risk using the first-order conditions of a longterm equity investor who is content to hold the aggregate equity market instead of over weighting value stocks and other equity portfolios that are attractive to short-term investors. We show that a conservative long-term investor will avoid such overweights to hedge against two types of deterioration in investment opportunities: declining expected stock returns and increasing volatility. We present novel evidence that low-frequency movements in equity volatility, tied to the default spread, are priced in the cross section of stock returns. (C) 2018 Elsevier B.V. All rights reserved.
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