均衡模型中的方差风险溢价

THE VARIANCE RISK PREMIUM IN EQUILIBRIUM MODELS

作者：

吉尔特·贝卡尔特（Geert Bekaert）

埃里克·恩格斯特伦（Eric Engstrom）

安德烈·埃莫洛夫（Andrey Ermolov）

The equity variance risk premium is the expected compensation earned for selling variance risk inequity markets. The variance risk premium is positive and shows moderate persistence. Highvariance risk premiums coincide with the left tail of the consumption growth distribution shiftingdown. These facts, together with a positive, yet moderate, difference between the risk-neutralentropy and variance of the aggregate market return, refute the bulk of the extant consumptionbased asset pricing models. We introduce a tractable habit model that does fit the data. In themodel, the variance risk premium depends positively (negatively) on “bad” (“good”)consumption growth uncertainty.

股权方差风险溢价是在股票市场中因出售方差风险而获得的预期补偿。方差风险溢价为正，并显示中等程度的持久性。高方差风险溢价与消费增长分布的左尾移向一致。这些事实，加上风险中性熵与总市场收益方差之间的正的但适度的差异，驳斥了大部分现存的基于消费的资产定价模型。我们引入了适合数据的易处理的习惯模型。在模型中，方差风险溢价正（负）依赖于“不良”（“好”）消费增长的不确定性。