The price of variance risk

• 成果类型: Article
• 署名作者: Dew-Becker, Ian; Giglio, Stefano; Le, Anh; Rodriguez, Marius
• 署名单位: Northwestern University; University of Chicago; Pennsylvania Commonwealth System of Higher Education (PCSHE); Pennsylvania State University; Pennsylvania State University - University Park; Federal Reserve System - USA; National Bureau of Economic Research; Centre for Economic Policy Research - UK
• 刊物名称: JOURNAL OF FINANCIAL ECONOMICS
• ISSN/ISSBN: 0304-405X
• DOI: 10.1016/j.jfineco.2016.04.003
• 发表日期: 2017
• 页码: 225-250
• 关键词: Variance risk premium; recursive preferences; disasters

摘要

Between 1996 and 2014, it was costless on average to hedge news about future variance at horizons ranging from 1 quarter to 14 years. Only unexpected, transitory realized variance was significantly priced. These results present a challenge to many structural models of the variance risk premium, such as the intertemporal CAPM and recent models with Epstein-Zin preferences and long-run risks. The results are also difficult to reconcile with macro models in which volatility affects investment decisions. At the same time, the data allows us to distinguish between different disaster models; a model in which the stock market has a time-varying exposure to disasters and investors have power utility fits the major features of the variance term structure. (C) 2016 Elsevier B.V. All rights reserved.