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An intertemporal CAPM with stochastic volatility
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DOI：10.1016/j.jfineco.2018.02.011.png)
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Abstract
En 中文
This paper studies the pricing of volatility risk using the first-order conditions of a longterm equity investor who is content to hold the aggregate equity market instead of over weighting 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. (C) 2018 Elsevier B.V. All rights reserved.
Keywords:
STOCK-MARKET VOLATILITY
COMMON RISK-FACTORS
LONG-RUN
ASSET RETURNS
TEMPORAL BEHAVIOR
CROSS-SECTION
CONSUMPTION
MODEL
SUBSTITUTION
COVARIANCES
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