全球智库信息集成服务系统(G2TT): Uncovering the Risk-Return Relation in the Stock Market

G2TT

来源类型	Working Paper
规范类型	报告
DOI	10.3386/w9927
来源ID	Working Paper 9927
	Uncovering the Risk-Return Relation in the Stock Market
	Hui Guo; Robert F. Whitelaw
发表日期	2003-08-25
出版年	2003
语种	英语
摘要	There is an ongoing debate in the literature about the apparent weak or negative relation between risk (conditional variance) and return (expected returns) in the aggregate stock market. We develop and estimate an empirical model based on the ICAPM to investigate this relation. Our primary innovation is to model and identify empirically the two components of expected returns--the risk component and the component due to the desire to hedge changes in investment opportunities. We also explicitly model the effect of shocks to expected returns on ex post returns and use implied volatility from traded options to increase estimation efficiency. As a result, the coefficient of relative risk aversion is estimated more precisely, and we find it to be positive and reasonable in magnitude. Although volatility risk is priced, as theory dictates, it contributes only a small amount to the time-variation in expected returns. Expected returns are driven primarily by the desire to hedge changes in investment opportunities. It is the omission of this hedge component that is responsible for the contradictory and counter-intuitive results in the existing literature.
主题	Financial Economics ; Financial Markets
URL	https://www.nber.org/papers/w9927
来源智库	National Bureau of Economic Research (United States)
引用统计
资源类型	智库出版物
条目标识符	http://119.78.100.153/handle/2XGU8XDN/567552
推荐引用方式 GB/T 7714	Hui Guo,Robert F. Whitelaw. Uncovering the Risk-Return Relation in the Stock Market. 2003.

条目包含的文件
文件名称/大小	资源类型	版本类型	开放类型	使用许可
w9927.pdf（347KB）	智库出版物		限制开放	CC BY-NC-SA	浏览