کد مقاله | کد نشریه | سال انتشار | مقاله انگلیسی | نسخه تمام متن |
---|---|---|---|---|
5088057 | 1478291 | 2017 | 50 صفحه PDF | دانلود رایگان |
عنوان انگلیسی مقاله ISI
The market price of risk of the variance term structure
ترجمه فارسی عنوان
قیمت بازار خطر ساختار مدت زمان واریانس
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موضوعات مرتبط
علوم انسانی و اجتماعی
اقتصاد، اقتصادسنجی و امور مالی
اقتصاد و اقتصادسنجی
چکیده انگلیسی
In this paper I examine the market price of risk of the variance term structure. To this end, the S&P 500 option implied variance term structure is used as a proxy for aggregate variance risk. Principal component analysis shows that time variation in the variance term structure over the 1996-2012 period can be explained mainly by two factors which capture changes in the level and slope. The market price of risk of each factor is estimated in the cross-section of stock returns. The slope of the variance term structure is the most significant factor in the cross-section of stocks returns and carries a negative risk premium. The slope factor has also some predictive ability over long horizon equity returns.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Journal of Banking & Finance - Volume 84, November 2017, Pages 41-52
Journal: Journal of Banking & Finance - Volume 84, November 2017, Pages 41-52
نویسندگان
George Dotsis,