Uncovering the Risk-Return Relation in the Stock Market
基于跨期资本资产定价模型，将预期收益分解为风险成分和对冲投资机会变化的成分，发现风险厌恶系数为正且显著，但预期收益主要由对冲成分驱动，这解释了为何现有研究常得出风险与收益关系微弱或为负的矛盾结果。
ABSTRACT There is ongoing debate about the apparent weak or negative relation between risk (conditional variance) and expected returns in the aggregate stock market. We develop and estimate an empirical model based on the intertemporal capital asset pricing model (ICAPM) that separately identifies the two components of expected returns, namely, the risk component and the component due to the desire to hedge changes in investment opportunities. The estimated coefficient of relative risk aversion is positive, statistically significant, and reasonable in magnitude. However, expected returns are driven primarily by the hedge component. The omission of this component is partly responsible for the existing contradictory results.