Uncovering the risk-return relation in the stock market

• 成果类型: Article
• 署名作者: Guo, Hui; Whitelaw, Robert F.
• 署名单位: Federal Reserve System - USA; Federal Reserve Bank - St. Louis; New York University; National Bureau of Economic Research
• 刊物名称: JOURNAL OF FINANCE
• ISSN/ISSBN: 0022-1082
• DOI: 10.1111/j.1540-6261.2006.00877.x
• 发表日期: 2006
• 页码: 1433-1463
• 关键词: VARIANCE DECOMPOSITION; volatility; PARTICIPATION; determinants; consumption; crash

摘要

There is ongoing debate about the apparent weak or negative relation between risk (conditional variance) and expected returns in the aggregate stock market. We develop and estimate an empirical model based on the intertemporal capital asset pricing model (ICAPM) that separately identifies the two components of expected returns, namely, the risk component and the component due to the desire to hedge changes in investment opportunities. The estimated coefficient of relative risk aversion is positive, statistically significant, and reasonable in magnitude. However, expected returns are driven primarily by the hedge component. The omission of this component is partly responsible for the existing contradictory results.