Understanding Short‐ versus Long‐Run Risk Premia
研究短期与长期风险溢价的关系，利用无套利假设从短期期货和现货市场提取短期风险溢价，发现其与长期风险溢价包含不同信息，且高短期风险溢价反而预测低指数回报，与习惯持续或长期风险模型不符，但与不确定性厌恶模型一致。
Abstract This paper studies the link between short‐ and long‐run risk premia. We extract short‐term risk premia from contemporaneous information on short‐term futures and cash equity markets under the assumption of no arbitrage. Predictability regressions reveal that short‐term risk premia capture different information from long‐run risk premia. Counter to the intuition that a high price of risk commands high returns, high short‐run risk premia on dividend claims predict low returns on the index. While inconsistent with models featuring either habit persistence or long‐run risk, the results may be reconciled with some models of uncertainty aversion.