Journal of Financial & Quantitative Analysis. Volume 52, Issue 6, December 2017

风险溢价与波动率指数的期限结构

作者：Travis L. Johnson (University of Texas at Austin McCombs School of Business)

摘要：芝加哥期权交易所波动率指数（VIX）的期限结构形态包含了方差风险而不是VIX预期变动的相关信息，该现象否定了预期假说。第二个因子成分（SLOPE）涵盖了几乎所有的相关信息，并能很好地预测标普500指数方差互换合约、VIX期货、标普500所有到期日（不考虑其他期限结构）合约的多空组合的超额收益率。相对于其他代理指标，SLOPE的预测能力在条件方差风险溢价、经济意义上的显著以及与标准资产定价模型的非一致性方面有较大的提升。

Risk Premia and the VIX Term Structure

Travis L. Johnson (University of Texas at Austin McCombs School of Business)

ABSTRACT

The shape of the Chicago Board Options Exchange Volatility Index (VIX) term structure conveys information about the price of variance risk rather than expected changes in the VIX, a rejection of the expectations hypothesis. The second principal component, SLOPE, summarizes nearly all this information, predicting the excess returns of synthetic Standard & Poor’s (S&P) 500 variance swaps, VIX futures, and S&P 500 straddles for all maturities and to the exclusion of the rest of the term structure. SLOPE’s predictability is incremental to other proxies for the conditional variance risk premia, economically significant, and inconsistent with standard asset pricing models.

原文链接:

https://www.cambridge.org/core/journals/journal-of-financial-and-quantitative-analysis/article/risk-premia-and-the-vix-term-structure/56572D1F060448571BD8F597C732D9C3

翻译：汪国颂