The joint cross-sectional variation of equity returns and volatilities
Fecha
2017Versión
Acceso abierto / Sarbide irekia
Tipo
Artículo / Artikulua
Versión
Versión aceptada / Onetsi den bertsioa
Impacto
|
10.1016/j.jbankfin.2016.11.013
Resumen
This paper analyzes the determinants of the simultaneous cross-sectional variation of return and volatility risk premia. Independently of the model specification employed, the estimated risk premium associated with the default premium beta is always positive and statistically different from zero. Moreover, the risk premium of the market volatility risk premium beta is negative and statistically s ...
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This paper analyzes the determinants of the simultaneous cross-sectional variation of return and volatility risk premia. Independently of the model specification employed, the estimated risk premium associated with the default premium beta is always positive and statistically different from zero. Moreover, the risk premium of the market volatility risk premium beta is negative and statistically significant. However, both risk factors are priced economically and statistically differently in the volatility and return segments of the market. On average, common factors in both segments explain 90% of the variability of volatility risk premium portfolios, but only 65% of the variability of equity return portfolios. [--]
Materias
Return risk premia,
Volatility risk premia,
Linear factor models,
Default premium,
Return and volatility market segmentation
Editor
Elsevier
Publicado en
Journal of Banking and Finance, 75 (2017) 17-34
Departamento
Universidad Pública de Navarra. Departamento de Gestión de Empresas /
Nafarroako Unibertsitate Publikoa. Enpresen Kudeaketa Saila
Versión del editor
Entidades Financiadoras
The authors acknowledge financial support from the Ministry of Economics and Competitiveness through grant ECO2015-67035-P. In addition, Gonzalo Rubio acknowledges financial support from the Bank of Spain, and Generalitat Valenciana grantPROMETEOII/2013/015, and Ana González-Urteaga from Ministry of Economics and Competitiveness through grant ECO2016-77631-R.