THE JOURNAL OF FINANCE · VOL. LXX, NO. 2 · APRIL 2015

横截面股票收益的总跳和波动性风险问题

作者：MARTIJN CREMERS, MICHAEL HALLING, and DAVID WEINBAUM

摘要：通过构建只依赖于总跳或波动性风险的期权交易策略，本文探讨了在横截面股票收益的总跳和波动性风险这两个因子的定价问题。结果表明总跳和波动性风险对于解释收益率都具有显著作用。与理论预期一致的是，对于跳跃和波动性风险更加敏感的股票的收益率更低：增加两个标准差的总跳和波动性风险分别会导致股票收益下降3.5%到5.1%和2.7%到2.9%。

关键词：总跳，波动性风险，股票收益

Aggregate Jump and Volatility Risk in the Cross-Section of Stock Returns

MARTIJN CREMERS, MICHAEL HALLING, and DAVID WEINBAUM

ABSTRACT

We examine the pricing of both aggregate jump and volatility risk in the cross-section of stock returns by constructing investable option trading strategies that load on one factor but are orthogonal to the other. Both aggregate jump and volatility risk help explain variation in expected returns. Consistent with theory, stocks with high sensitivities to jump and volatility risk have low expected returns. Both can be measured separately and are important economically, with a two-standard-deviation increase in jump (volatility) factor loadings associated with a 3.5% to 5.1% (2.7% to 2.9%) drop in expected annual stock returns.

Keywords: Aggregate Jump, Volatility Risk, Stock Returns

原文链接：http://onlinelibrary.wiley.com/doi/10.1111/jofi.12220/full

翻译：殷曼琳