股票因素的风险收益权衡

Pedro Barroso, Paulo F. Maio
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引用次数: 1

摘要

我们通过估计月度因素回报对滞后实现方差的单变量预测回归来检验几个多空股票因素之间的时间序列风险回报权衡。我们在文献中采用的盈利能力和投资因素的替代版本中获得了一个积极的权衡。这种关系对预测回归中实现的协方差(与市场因素)的存在具有鲁棒性,这与Merton的ICAPM一致。关键是,我们得到了市场因素的不显著的风险-收益关系。在大多数国际股票市场中,风险回报权衡的因素往往较弱。样本外预测能力(因子方差对自身未来收益的预测能力)对于投资和盈利因素往往具有经济意义。总体而言,我们的研究结果表明,时间序列风险回报权衡在股票市场的细分市场中比在整个市场中要强得多。
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The Risk-Return Tradeoff Among Equity Factors
We examine the time-series risk-return trade-off among several long-short equity factors by estimating univariate predictive regressions of monthly factor returns onto the lagged realized variances. We obtain a positive trade-off for alternative versions of the profitability and investment factors employed in the literature. Such relationship is robust to the presence of the realized covariance (with the market factor) in the forecasting regressions, which represents consistency with Merton's ICAPM. Critically, we obtain an insignificant risk-return relationship for the market factor. The factor risk-return trade-off tends to be weaker among most international equity markets. The out-of-sample forecasting power (of factor variances for own future returns) tends to be economically significant for the investment and profitability factors. Overall, our results suggest that the time-series risk-return trade-off is substantially stronger within segments of the stock market than for the whole.
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