Review of Finance, Volume 21 Issue 3, May 2017, Pages 987-1022

债券方差风险溢价

作者：Hoyong Choi (Rotterdam School of Management, Erasmus University), Philippe Mueller (London School of Economics), Andrea Vedolin (London School of Economics)

摘要：这篇论文研究了国债市场的方差风险溢价。我们首创性的提出了一套用于定价方差互换的理论，并发现已实现方差可以被国债期货期权的静态仓位和标的资产的动态仓位完全复制。即使实在标的资产暴涨的情况下，定价与套期保值仍然是稳健的。利用大量不同期限国债期货期权的面板数据进行分析，我们发现：1.隐含方差的期限结构与到期日构成的曲线向下倾斜，与期限构成的曲线向上倾斜。除此之外，期限结构的斜率与经济活动紧密相连。2.国债方差互换的收益率是负值并且很大。做空方差互换合约可以得到一个接近于2的夏普比率，并且对应的收益率不能被标准的风险因素所解释。3.在考虑交易成本和保证金要求的情况下，对应的收益率仍具有很高的统计显著性。

关键词：方差风险溢价，国债隐含波动率，国债方差互换，资产配置

Bond Variance Risk Premiums

Hoyong Choi (Rotterdam School of Management, Erasmus University), Philippe Mueller (London School of Economics), Andrea Vedolin (London School of Economics)

ABSTRACT

This paper studies variance risk premiums in the Treasury market. We first develop a theory to price variance swaps and show that the realized variance can be perfectly replicated by a static position in Treasury futures options and a dynamic position in the underlying. Pricing and hedging is robust even in the underlying jumps. Using a large options panel data set on Treasury futures with different tenors, we report the following findings: First, the term structure of implied variances is downward sloping across maturities and increases in tenors. Moreover, the slope of the term structure is strongly linked to economic activity. Second, returns to the Treasury variance swap are negative and economically large. Shorting a variance swap produces an annualized Sharpe ratio of almost two and the associated returns cannot be explained by standard risk factors. Finally, the returns remain highly statistically significant even when accounting for transaction costs and margin requirements.

原文链接: https://academic.oup.com/rof/article-abstract/21/3/987/2960063/Bond-Variance-Risk-Premiums

翻译：汪国颂