Do jumps contribute to the dynamics of the equity premium?

• 成果类型: Article
• 署名作者: Maheu, John M.; McCurdy, Thomas H.; Zhao, Xiaofei
• 署名单位: McMaster University; University of Toronto; Universite de Montreal; University of Texas System; University of Texas Dallas
• 刊物名称: JOURNAL OF FINANCIAL ECONOMICS
• ISSN/ISSBN: 0304-405X
• DOI: 10.1016/j.jfineco.2013.07.006
• 发表日期: 2013
• 页码: 457-477
• 关键词: Jumps; higher-order moments; skewness; kurtosis; equity premium

摘要

This paper investigates whether risks associated with time-varying arrival of jumps and their effect on the dynamics of higher moments of returns are priced in the conditional mean of daily market excess returns. We find that jumps and jump dynamics are significantly related to the market equity premium. The results from our time-series approach reinforce the importance of the skewness premium found in cross-sectional studies using lower-frequency data; and offer a potential resolution to sometimes conflicting results on the intertemporal risk-return relationship. We use a general utility specification, consistent with our pricing kernel, to evaluate the relative value of alternative risk premium models in an out-of-sample portfolio performance application. (C) 2013 Elsevier B.V. All rights reserved.