英文标题：
《Tail Risk Premia for Long-Term Equity Investors》
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作者：
Johannes Rauch, Carol Alexander
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最新提交年份：
2016
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英文摘要：
  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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中文摘要：
在我们对标准普尔500指数的实证研究中，我们使用代表对数收益的方差和高阶矩的特定类别掉期的损益作为估计器，研究了决定方差和高阶矩风险溢价的因素。这类是具有Neuberger聚集特性的离散不变掉期子类。除了市场超额收益，动量是偏度和峰度风险溢价的主要驱动力，这两种风险溢价表现出高度显著的负相关。相比之下，方差风险溢价与规模呈正相关，与增长呈负相关，方差与尾部风险溢价之间的相关性与之前的研究相比相对较低，尤其是在高抽样频率下。这些发现扩展了之前关于这些风险溢价决定因素的研究。此外，我们细致的数据构建方法避免了扭曲结果的不必要人工制品。
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分类信息：

一级分类：Quantitative Finance        数量金融学
二级分类：Pricing of Securities        证券定价
分类描述：Valuation and hedging of financial securities, their derivatives, and structured products
金融证券及其衍生产品和结构化产品的估值和套期保值
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一级分类：Quantitative Finance        数量金融学
二级分类：Risk Management        风险管理
分类描述：Measurement and management of financial risks in trading, banking, insurance, corporate and other applications
衡量和管理贸易、银行、保险、企业和其他应用中的金融风险
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一级分类：Quantitative Finance        数量金融学
二级分类：Statistical Finance        统计金融
分类描述：Statistical, econometric and econophysics analyses with applications to financial markets and economic data
统计、计量经济学和经济物理学分析及其在金融市场和经济数据中的应用
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