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股票收益与现金流可预测性：波动率风险的作用AI 解读

We examine the joint predictability of return and cash flow within a present value framework, by imposing the implications from a long-run risk model that allow for both time-varying volatility and volatility uncertainty. We provide new evidence that the expected return variation and the variance risk premium positively forecast both short-horizon returns and dividend growth rates. We also confirm that dividend yield positively forecasts long-horizon returns, but that it…

金融市场的已实现跳跃与信用利差预测AI 解读

This paper extends the jump detection method based on bipower variation to identify realized jumps on financial markets and to estimate parametrically the jump intensity, mean, and variance. Finite sample evidence suggests that the jump parameters can be accurately estimated and that the statistical inferences are reliable under the assumption that jumps are rare and large. Applications to equity market, treasury bond, and exchange rate data reveal important differences in…

利用期权隐含与已实现波动率动态估计风险溢价和投资者风险厌恶AI 解读

This paper proposes a method for constructing a volatility risk premium, or investor risk aversion, index. The method is intuitive and simple to implement, relying on the sample moments of the recently popularized model-free realized and option-implied volatility measures. A small-scale Monte Carlo experiment confirms that the procedure works well in practice. Implementing the procedure with actual S&P500 option-implied volatilities and high-frequency five-minute-based…

期限结构中的状态转换、风险溢价与商业周期AI 解读

Recent evidence indicates that using multiple forward rates sharply predicts future excess returns on U.S. Treasury bonds—the R 2 ’s being around 30%. The projection coefficients in these regressions exhibit a distinct pattern that relates to the maturity of the forward rate. These dimensions of the data in conjunction with the transition dynamics of bond yields offer a serious challenge to term structure models. In this paper we show that a regime-shifts term structure…

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