Aggregate Jump and Volatility Risk in the Cross-Section of Stock Returns

• 成果类型: Article
• 署名作者: Cremers, Martijn; Halling, Michael; Weinbaum, David
• 署名单位: University of Notre Dame; Utah System of Higher Education; University of Utah; Syracuse University
• 刊物名称: JOURNAL OF FINANCE
• ISSN/ISSBN: 0022-1082
• DOI: 10.1111/jofi.12220
• 发表日期: 2015
• 页码: 577-614
• 关键词: variable rare disasters; implied volatility; 10 puzzles; options; equilibrium; MARKET; prices; crash; MODEL; premium

摘要

We examine the pricing of both aggregate jump and volatility risk in the cross-section of stock returns by constructing investable option trading strategies that load on one factor but are orthogonal to the other. Both aggregate jump and volatility risk help explain variation in expected returns. Consistent with theory, stocks with high sensitivities to jump and volatility risk have low expected returns. Both can be measured separately and are important economically, with a two-standard-deviation increase in jump (volatility) factor loadings associated with a 3.5% to 5.1% (2.7% to 2.9%) drop in expected annual stock returns.