What do asset prices have to say about risk appetite and uncertainty?

被引：56

作者：

Bekaert, Geert ^{[1
]}

Hoerova, Marie ^{[2
]}

机构：

[1] Columbia Univ, New York, NY 10027 USA

[2] European Cent Bank, D-60314 Frankfurt, Germany

来源：

JOURNAL OF BANKING & FINANCE | 2016年 / 67卷

关键词：

Economic uncertainty; Risk aversion; Time variation in risk and return; Credit spread; Volatility dynamics; Financial stress; CROSS-SECTION; INVESTOR SENTIMENT; STOCK RETURNS; INFLATION; AVERSION; SHOCKS; MODEL;

D O I：

10.1016/j.jbankfin.2015.06.015

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

摘要：

Building on intuition from the dynamic asset pricing literature, we uncover unobserved risk aversion and fundamental uncertainty from the observed time series of the variance premium and the credit spread while controlling for the conditional variance of stock returns, expectations about the macroeconomic outlook, and interest rates. We apply this methodology to monthly data from both Germany and the US. We find that the variance premium contains a substantial amount of information about risk aversion whereas the credit spread has a lot to say about uncertainty. We link our risk aversion and uncertainty estimates to practitioner and "academic" risk aversion indices, sentiment indices, financial stress indices, business cycle indicators and liquidity measures. (C) 2015 Elsevier B.V. All rights reserved.

引用

页码：103 / 118

页数：16

共 60 条

[41] Jump and volatility risk premiums implied by VIX [J].