Stock Returns and Volatility: Pricing the Short-Run and Long-Run Components of Market Risk

• 成果类型: Article
• 署名作者: Adrian, Tobias; Rosenberg, Joshua
• 署名单位: Federal Reserve System - USA; Federal Reserve Bank - New York
• 刊物名称: JOURNAL OF FINANCE
• ISSN/ISSBN: 0022-1082
• DOI: 10.1111/j.1540-6261.2008.01419.x
• 发表日期: 2008
• 页码: 2997-3030
• 关键词: cross-section; equilibrium-model; ARCH models; heteroskedasticity; constraints; preference; valuation; liquidity; arbitrage; variance

摘要

We explore the cross-sectional pricing of volatility risk by decomposing equity market volatility into short- and long-run components. Our finding that prices of risk are negative and significant for both volatility components implies that investors pay for insurance against increases in volatility, even if those increases have little persistence. The short-run component captures market skewness risk, which we interpret as a measure of the tightness of financial constraints. The long-run component relates to business cycle risk. Furthermore, a three-factor pricing model with the market return and the two volatility components compares favorably to benchmark models.