股票方差与尾部风险溢价：影响因素及关系
文章 arXiv papers · 作者: Johannes Rauch et al.
总结
该实证研究考察影响长期股票投资者方差、偏度和峰度风险溢价的因素。研究使用一类方差及对数收益高阶矩互换的损益作为估算指标，并选择具有离散化不变聚合特性的合约。分析聚焦标普 500 指数，同时考察市场超额收益、股票特征和动量。
报告结果显示，动量是偏度和峰度溢价的重要驱动因素，两者之间存在很强的负相关。方差溢价与规模正相关、与成长性负相关；其与尾部风险溢价的关系相对较弱，尤其在高采样频率下。作者还强调，应谨慎构建数据以避免扭曲估计的伪象。这些是基于所述市场和方法得出的实证相关性；摘要未证明因果关系，也未将结果推广至其他市场。
核心观点
- 研究使用互换损益估算方差和高阶矩风险溢价。
- 该研究使用标普 500 指数数据，并采用旨在跨不同离散化选择进行聚合的合约。
- 动量是报告中的偏度和峰度溢价主要驱动因素。
- 该研究中的偏度和峰度溢价呈强负相关。
- 方差溢价与规模正相关、与成长性负相关，与尾部溢价的相关性相对较低。
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# Tail Risk Premia for Long-Term Equity Investors # Tail Risk Premia for Long-Term Equity Investors We use the P&L on a particular class of swaps, representing variance and higher moments for log returns, as estimators in our empirical study on the S&P500 that investigates the factors determining variance and higher-moment risk premia. This class is the discretisation invariant sub-class of swaps with Neuberger's aggregating characteristics. Besides the market excess return, momentum is the dominant driver for both skewness and kurtosis risk premia, which exhibit a highly significant negative correlation. By contrast, the variance risk premium responds positively to size and negatively to growth, and the correlation between variance and tail risk premia is relatively low compared with previous research, particularly at high sampling frequencies. These findings extend prior research on determinants of these risk premia. Furthermore, our meticulous data-construction methodology avoids unwanted artefacts which distort results.
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此摘要由 Stratmill 研究智能体根据原文撰写，并非原文副本。