The skewness risk premium in equilibrium and stock return predictability

被引：12

作者：

Sasaki H. ^{[1
]}

机构：

[1] Mizuho-DL Financial Technology Co., Ltd., 2-4-1 Koujimachi, Chiyoda-ku, Tokyo

来源：

Annals of Finance | 2016年 / 12卷 / 1期

关键词：

Epstein–Zin preferences; Jump intensity; Long-run risks model; Skewness risk premium; Stochastic volatility; Stock return predictability; Variance risk premium; Volatility of volatility;

D O I：

10.1007/s10436-016-0275-7

中图分类号：

学科分类号：

摘要：

In this study, we investigate the skewness risk premium in the financial market under a general equilibrium setting. Extending the long-run risks (LRR) model proposed by Bansal and Yaron (J Financ 59:1481–1509, 2004) by introducing a stochastic jump intensity for jumps in the LRR factor and the variance of consumption growth rate, we provide an explicit representation for the skewness risk premium, as well as the volatility risk premium, in equilibrium. On the basis of the representation for the skewness risk premium, we propose a possible reason for the empirical facts of time-varying and negative risk-neutral skewness. Moreover, we also provide an equity risk premium representation of a linear factor pricing model with the variance and skewness risk premiums. The empirical results imply that the skewness risk premium, as well as the variance risk premium, has superior predictive power for future aggregate stock market index returns, which are consistent with the theoretical implication derived by our model. Compared with the variance risk premium, the results show that the skewness risk premium plays an independent and essential role for predicting the market index returns. © 2016, Springer-Verlag Berlin Heidelberg.

引用

页码：95 / 133

页数：38

共 22 条

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