Abstract

This paper develops a general equilibrium model and provides empirical support that the market volatility-of-volatility (VOV) predicts market returns and drives the time-varying volatility risk. In asset pricing tests with the market, volatility, and VOV as factors, the risk premium on VOV is statistically and economically significant and robust. Market and volatility risks are not priced in unconditional models, but, consistent with theory, their factor loadings, conditional on VOV, are priced. The pricing impact of VOV strengthens during market crashes, suggesting that VOV is particularly relevant during market turmoil, when investors demand increased compensation for VOV risk. (JEL G11, G12, G13)

中文翻译：

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资产定价中的波动风险

摘要

本文建立了一个一般均衡模型，并为市场波动率（VOV）预测市场收益并驱动时变波动率风险提供了实证支持。在以市场、波动性和VOV为因素的资产定价测试中，VOV的风险溢价在统计上和经济上都具有显着性和稳健性。市场和波动风险没有在无条件模型中定价，但与理论一致，它们的因子载荷（以VOV为条件）是定价的。在市场崩盘期间， VOV的定价影响会加强，这表明在市场动荡期间，当投资者要求增加对VOV风险。（杰尔G11、G12、G13）