We study an equilibrium risk and return model to explore the effects of the coronavirus crisis and associated skewness on the market price of risk. We derive the moment and equilibrium equations, specifying skewness price of risk as an additive component of the effect of variance on mean expected return. We estimate our model using the flexible skewed generalized error distribution, for which we derive the distribution of returns and the likelihood function. Using S&P 500 Index returns from January 1980 to mid-October 2020, our results show that the coronavirus crisis generated a deeply negative reaction in the skewness and total market price of risk, more negative even than the subprime and the October 1987 crises.

我们研究了一种均衡的风险和收益模型，以探讨冠状病毒危机和相关偏度对风险市场价格的影响。我们导出了力矩方程和均衡方程，将风险的偏度价格指定为方差对平均预期收益的影响的加性成分。我们使用灵活的偏斜广义误差分布来估计模型，为此我们可以得出收益的分布和似然函数。使用1980年1月至2020年10月中旬的标准普尔500指数回报率，我们的结果表明，冠状病毒危机对风险的偏度和总市场价格产生了深远的负面反应，甚至比次贷和1987年10月的危机更为负面。