Uncertainty, Time‐Varying Fear, and Asset Prices
构建了一个均衡模型，解释指数期权价格、股票收益、方差和无风险利率的关键特征。投资者因担心模型错误而支付高额期权溢价，不确定性随时间变化导致方差溢价波动，有助于预测股票收益。
ABSTRACT I construct an equilibrium model that captures salient properties of index option prices, equity returns, variance, and the risk‐free rate. A representative investor makes consumption and portfolio choice decisions that are robust to his uncertainty about the true economic model. He pays a large premium for index options because they hedge important model misspecification concerns, particularly concerning jump shocks to cash flow growth and volatility. A calibration shows that empirically consistent fundamentals and reasonable model uncertainty explain option prices and the variance premium. Time variation in uncertainty generates variance premium fluctuations, helping explain their power to predict stock returns.