Pricing Stock Market Volatility: Does it Matter whether the Volatility is Related to the Business Cycle?

被引：14

作者：

Kim, Yunmi ^{[1
]}

Nelson, Charles R. ^{[2
]}

机构：

[1] Univ Seoul, Seoul 130743, South Korea

[2] Univ Washington, Seattle, WA 98195 USA

来源：

JOURNAL OF FINANCIAL ECONOMETRICS | 2014年 / 12卷 / 02期

关键词：

business cycles; expected returns; long-run risk (LRR) asset pricing model; market volatility; Markov-switching; risk-return trade-off; EQUITY PREMIUM; TERM STRUCTURE; TIME-SERIES; RISK; RETURNS; REGIME; MODEL; RATES;

D O I：

10.1093/jjfinec/nbt014

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

摘要：

This article investigates the impact of business cycle-related market volatility on expected returns. We develop a model that enables us to decompose the market volatility into two components: business cycle-related volatility and unrelated volatility. Then, the risk-return relation is assessed based on these two components. Our empirical results demonstrate that business cycle-related market volatility is priced in the stock market, whereas the unrelated component is not. Furthermore, our procedure identifies a few periods of high volatility that are not related to recessions, including the 1987 crash and the 1998 Russian default.

引用

页码：307 / 328

页数：22

共 43 条

[1] Regime switches in interest rates [J].