Uncertainty, Time-Varying Fear, and Asset Prices

• 成果类型: Article
• 署名作者: Drechsler, Itamar
• 署名单位: New York University
• 刊物名称: JOURNAL OF FINANCE
• ISSN/ISSBN: 0022-1082
• DOI: 10.1111/jofi.12068
• 发表日期: 2013
• 页码: 1843-1889
• 关键词: stock return predictability; ROBUST PORTFOLIO RULES; RUN RISKS MODEL; long-run; variance; consumption; volatility; premia; disasters

摘要

I construct an equilibrium model that captures salient properties of index option prices, equity returns, variance, and the risk-free rate. A representative investor makes consumption and portfolio choice decisions that are robust to his uncertainty about the true economic model. He pays a large premium for index options because they hedge important model misspecification concerns, particularly concerning jump shocks to cash flow growth and volatility. A calibration shows that empirically consistent fundamentals and reasonable model uncertainty explain option prices and the variance premium. Time variation in uncertainty generates variance premium fluctuations, helping explain their power to predict stock returns.