经济
计量经济学
偏斜
风险溢价
跳跃
价值溢价
股权溢价之谜
衡平法
文件夹
金融经济学
资本资产定价模型
物理
政治学
法学
量子力学
作者
John M. Maheu,Thomas H. McCurdy,Xiaofei Zhao
标识
DOI:10.1016/j.jfineco.2013.07.006
摘要
This paper investigates whether risks associated with time-varying arrival of jumps and their effect on the dynamics of higher moments of returns are priced in the conditional mean of daily market excess returns. We find that jumps and jump dynamics are significantly related to the market equity premium. The results from our time-series approach reinforce the importance of the skewness premium found in cross-sectional studies using lower-frequency data; and offer a potential resolution to sometimes conflicting results on the intertemporal risk-return relationship. We use a general utility specification, consistent with our pricing kernel, to evaluate the relative value of alternative risk premium models in an out-of-sample portfolio performance application.
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