THE JOURNAL OF FINANCE · VOL. LXX, NO. 2 · APRIL 2015

橫截面股票收益的總跳和波動性風險問題

作者：MARTIJN CREMERS, MICHAEL HALLING, and DAVID WEINBAUM

摘要：通過構建隻依賴于總跳或波動性風險的期權交易策略，本文探讨了在橫截面股票收益的總跳和波動性風險這兩個因子的定價問題。結果表明總跳和波動性風險對于解釋收益率都具有顯著作用。與理論預期一緻的是，對于跳躍和波動性風險更加敏感的股票的收益率更低：增加兩個标準差的總跳和波動性風險分别會導緻股票收益下降3.5%到5.1%和2.7%到2.9%。

關鍵詞：總跳，波動性風險，股票收益

Aggregate Jump and Volatility Risk in the Cross-Section of Stock Returns

MARTIJN CREMERS, MICHAEL HALLING, and DAVID WEINBAUM

ABSTRACT

We examine the pricing of both aggregate jump and volatility risk in the cross-section of stock returns by constructing investable option trading strategies that load on one factor but are orthogonal to the other. Both aggregate jump and volatility risk help explain variation in expected returns. Consistent with theory, stocks with high sensitivities to jump and volatility risk have low expected returns. Both can be measured separately and are important economically, with a two-standard-deviation increase in jump (volatility) factor loadings associated with a 3.5% to 5.1% (2.7% to 2.9%) drop in expected annual stock returns.

Keywords: Aggregate Jump, Volatility Risk, Stock Returns

原文鍊接：http://onlinelibrary.wiley.com/doi/10.1111/jofi.12220/full

翻譯：殷曼琳