Asymmetric stock market volatility and the cyclical behavior of expected returns

• 成果类型: Article
• 署名作者: Mele, Antonio
• 署名单位: University of London; London School Economics & Political Science; University of Turin
• 刊物名称: JOURNAL OF FINANCIAL ECONOMICS
• ISSN/ISSBN: 0304-405X
• DOI: 10.1016/j.jfineco.2006.10.002
• 发表日期: 2007
• 页码: 446-478
• 关键词: countercyclical volatility; countercyclical price-sensitivity; risk-adjusted discount rates; pricing-kernel restrictions

摘要

Recent explanations of aggregate stock market fluctuations suggest that countercyclical stock market volatility is consistent with rational asset evaluations. In this paper, I develop a framework to study the causes of countercyclical stock market volatility. I find that countercyclical risk premia do not imply countercyclical return volatility. Instead, countercyclical stock volatility occurs if risk premia increase more in bad times than they decrease in good times, thereby inducing price-dividend ratios to fluctuate more in bad times than in good. The business cycle asymmetry in the investors' attitude toward discounting future cash flows plays a novel and critical role in many rational explanations of asset price fluctuations. (c) 2007 Elsevier B.V. All rights reserved.