Journal of Financial Economics·Volume 128, Issue 2·May 2018·Pages 207-233

具有随机波动性的跨期CAPM

作者：John Y. Campbell（Harvard University; NBER）, Stefano Giglio（Yale School of Management）, Christopher Polk（London School of Economics, Department of Finance）, Robert Turley（Dodge and Cox）

摘要：本文使用长期投资者的一阶条件研究波动性风险的定价，假设投资者长期持有市场上所有股票的集合，而不会对价值股和其它具有短期吸引力的股票组合配置过高的权重。我们表明，保守的长期投资者将避免这种过高的权重以对冲投资机会的两种恶化：预期股票收益下降和波动性增加。我们提出了新的证据，即与缺省价差相关的股票波动率的低频率波动是通过股票收益率的横截面定价的。

An intertemporal CAPM with stochastic volatility

John Y. Campbell（Harvard University; NBER）, Stefano Giglio（Yale School of Management）, Christopher Polk（London School of Economics, Department of Finance）, Robert Turley（Dodge and Cox）ABSTRACT

This paper studies the pricing of volatility risk using the first-order conditions of a long-term equity investor who is content to hold the aggregate equity market instead of overweighting value stocks and other equity portfolios that are attractive to short-term investors. We show that a conservative long-term investor will avoid such overweights to hedge against two types of deterioration in investment opportunities: declining expected stock returns and increasing volatility. We present novel evidence that low-frequency movements in equity volatility, tied to the default spread, are priced in the cross section of stock returns.

原文链接：https://www.sciencedirect.com/science/article/pii/S0304405X18300503#!

翻译：何杉