Journal of Financial & Quantitative Analysis. Volume 50, Issue 6 December 2015

信念差异与波动率尾部行为

作者：Gurdip Bakshi (University of Maryland, Smith School of Business)

Dilip Madan (University of Maryland, Smith School of Business, College Park)

George Panayotov（Hong Kong University of Science and Technology, School of Business）

摘要：我们提出了一个刻画波动率尾部行为的模型，在该模型中投资者同时表现出了对低波动率和高波动率的厌恶，因此，推导出来的定价核在波动率维度上存在上升和下降区间。该模型抓住了对波动率产出具有不同信念的投资者的特点，并且通过选择波动率条件下的现金流最大化了他们的效用。我们实证检验的结果表明该模型不论是从定性的角度还是定量的角度来看，均能更好地复制波动率左偏分布的数据特征。

Heterogeneity in Beliefs and Volatility Tail Behavior

Gurdip Bakshi (University of Maryland, Smith School of Business)

Dilip Madan (University of Maryland, Smith School of Business, College Park)

George Panayotov（Hong Kong University of Science and Technology, School of Business）

ABSTRACT

We propose a model of volatility tail behavior in which investors display aversion to both low-volatility and high-volatility states, and hence, the derived pricing kernel exhibits an increasing and decreasing region in the volatility dimension. The model features investors who have heterogeneity in beliefs about volatility outcomes and maximize their utility by choosing volatility-contingent cash flows. Our empirical examination suggests that the model is better suited to reproduce data features in the left tail of the volatility distribution, both qualitatively and quantitatively.

原文链接: https://www.cambridge.org/core/journals/journal-of-financial-and-quantitative-analysis/article/heterogeneity-in-beliefs-and-volatility-tail-behavior/FD3FAAF277C103AC087643996F1126E8

翻译：汪国颂