{"title":"资产定价中的波动性风险","authors":"Chen T, Chordia T, Chung S, et al.","doi":"10.1093/rapstu/raab018","DOIUrl":null,"url":null,"abstract":"<span><div>Abstract</div>This paper develops a general equilibrium model and provides empirical support that the market volatility-of-volatility (<span style=\"font-style:italic;\">VOV</span>) predicts market returns and drives the time-varying volatility risk. In asset pricing tests with the market, volatility, and <span style=\"font-style:italic;\">VOV</span> as factors, the risk premium on <span style=\"font-style:italic;\">VOV</span> is statistically and economically significant and robust. Market and volatility risks are not priced in unconditional models, but, consistent with theory, their factor loadings, conditional on <span style=\"font-style:italic;\">VOV</span>, are priced. The pricing impact of <span style=\"font-style:italic;\">VOV</span> strengthens during market crashes, suggesting that <span style=\"font-style:italic;\">VOV</span> is particularly relevant during market turmoil, when investors demand increased compensation for <span style=\"font-style:italic;\">VOV</span> risk. (<span style=\"font-style:italic;\">JEL</span> G11, G12, G13)</span>","PeriodicalId":21144,"journal":{"name":"Review of Asset Pricing Studies","volume":"12 6","pages":""},"PeriodicalIF":2.2000,"publicationDate":"2021-07-20","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":"0","resultStr":"{\"title\":\"Volatility-of-Volatility Risk in Asset Pricing\",\"authors\":\"Chen T, Chordia T, Chung S, et al.\",\"doi\":\"10.1093/rapstu/raab018\",\"DOIUrl\":null,\"url\":null,\"abstract\":\"<span><div>Abstract</div>This paper develops a general equilibrium model and provides empirical support that the market volatility-of-volatility (<span style=\\\"font-style:italic;\\\">VOV</span>) predicts market returns and drives the time-varying volatility risk. In asset pricing tests with the market, volatility, and <span style=\\\"font-style:italic;\\\">VOV</span> as factors, the risk premium on <span style=\\\"font-style:italic;\\\">VOV</span> is statistically and economically significant and robust. Market and volatility risks are not priced in unconditional models, but, consistent with theory, their factor loadings, conditional on <span style=\\\"font-style:italic;\\\">VOV</span>, are priced. The pricing impact of <span style=\\\"font-style:italic;\\\">VOV</span> strengthens during market crashes, suggesting that <span style=\\\"font-style:italic;\\\">VOV</span> is particularly relevant during market turmoil, when investors demand increased compensation for <span style=\\\"font-style:italic;\\\">VOV</span> risk. (<span style=\\\"font-style:italic;\\\">JEL</span> G11, G12, G13)</span>\",\"PeriodicalId\":21144,\"journal\":{\"name\":\"Review of Asset Pricing Studies\",\"volume\":\"12 6\",\"pages\":\"\"},\"PeriodicalIF\":2.2000,\"publicationDate\":\"2021-07-20\",\"publicationTypes\":\"Journal Article\",\"fieldsOfStudy\":null,\"isOpenAccess\":false,\"openAccessPdf\":\"\",\"citationCount\":\"0\",\"resultStr\":null,\"platform\":\"Semanticscholar\",\"paperid\":null,\"PeriodicalName\":\"Review of Asset Pricing Studies\",\"FirstCategoryId\":\"1085\",\"ListUrlMain\":\"https://doi.org/10.1093/rapstu/raab018\",\"RegionNum\":0,\"RegionCategory\":null,\"ArticlePicture\":[],\"TitleCN\":null,\"AbstractTextCN\":null,\"PMCID\":null,\"EPubDate\":\"\",\"PubModel\":\"\",\"JCR\":\"Q2\",\"JCRName\":\"BUSINESS, FINANCE\",\"Score\":null,\"Total\":0}","platform":"Semanticscholar","paperid":null,"PeriodicalName":"Review of Asset Pricing Studies","FirstCategoryId":"1085","ListUrlMain":"https://doi.org/10.1093/rapstu/raab018","RegionNum":0,"RegionCategory":null,"ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":null,"EPubDate":"","PubModel":"","JCR":"Q2","JCRName":"BUSINESS, FINANCE","Score":null,"Total":0}
This paper develops a general equilibrium model and provides empirical support that the market volatility-of-volatility (VOV) predicts market returns and drives the time-varying volatility risk. In asset pricing tests with the market, volatility, and VOV as factors, the risk premium on VOV is statistically and economically significant and robust. Market and volatility risks are not priced in unconditional models, but, consistent with theory, their factor loadings, conditional on VOV, are priced. The pricing impact of VOV strengthens during market crashes, suggesting that VOV is particularly relevant during market turmoil, when investors demand increased compensation for VOV risk. (JEL G11, G12, G13)
期刊介绍：
The Review of Asset Pricing Studies (RAPS) is a journal that aims to publish high-quality research in asset pricing. It evaluates papers based on their original contribution to the understanding of asset pricing. The topics covered in RAPS include theoretical and empirical models of asset prices and returns, empirical methodology, macro-finance, financial institutions and asset prices, information and liquidity in asset markets, behavioral investment studies, asset market structure and microstructure, risk analysis, hedge funds, mutual funds, alternative investments, and other related topics.
Manuscripts submitted to RAPS must be exclusive to the journal and should not have been previously published. Starting in 2020, RAPS will publish three issues per year, owing to an increasing number of high-quality submissions. The journal is indexed in EconLit, Emerging Sources Citation IndexTM, RePEc (Research Papers in Economics), and Scopus.
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