Implied equity premium and market beta

IF 6.9 2区经济学 Q1 BUSINESS, FINANCE Finance Research Letters Pub Date : 2025-05-01 Epub Date: 2025-03-05 DOI:10.1016/j.frl.2025.107095

Zhan Wang , K. Victor Chow , Jiahao Gu

引用次数: 0

Abstract

We extend the ex-ante mean-variance (SVIX) asset pricing models of Martin (2017) and Martin-Wagner (2019) to a mean-VIX framework by incorporating higher-moment and co-moment risk in asset pricing, which builds a theoretical connection between equity returns and the commonly used implied volatility—VIX. Our proposed mean-VIX model is risk-neutral with left-tail asymmetries in returns to correct the SVIX approach's downside bias. We derive an option implied market beta of a stock as the weighted average of the betas of SVIX and VIX. Empirically, we develop an investible market portfolio (MKT*) that mimics realized outcomes on the implied market index adjusted for SVIX and VIX. Based on the MKT*, the mean-VIX asset pricing framework shows superior abilities in return prediction and portfolio allocation.

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隐含股权溢价和市场贝塔系数

我们将Martin（2017）和Martin- wagner（2019）的先验均值方差（SVIX）资产定价模型扩展到均值波动率框架，将资产定价中的高时刻和共时刻风险纳入其中，从而在股票收益与常用的隐含波动率- vix之间建立了理论联系。我们提出的均值- vix模型是风险中性的，具有回报的左尾不对称，以纠正vix方法的下行偏差。我们推导出股票的期权隐含市场贝塔系数作为VIX和VIX的贝塔系数的加权平均值。在经验上，我们开发了一个可投资市场投资组合（MKT*），它模拟了经SVIX和VIX调整的隐含市场指数的实现结果。基于MKT*的均值-波动率资产定价框架在收益预测和投资组合配置方面表现出较强的能力。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

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来源期刊

Finance Research Letters BUSINESS, FINANCE-

CiteScore

11.10

自引率

14.40%

发文量

863

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