Excess Volatility: Beyond Discount Rates*
研究发现，即使考虑了贴现率变化，长期资产价格波动仍远超短期价格所能解释的水平，这一现象在股票期权、货币期权、信用违约互换等多种市场中普遍存在。
Abstract We document a form of excess volatility that is difficult to reconcile with standard models of prices, even after accounting for variation in discount rates. We compare prices of claims on the same cash flow stream but with different maturities. Standard models impose precise internal consistency conditions on the joint behavior of long- and short-maturity claims and these are strongly rejected in the data. In particular, long-maturity prices are significantly more variable than justified by the behavior at short maturities. We reject internal consistency conditions in all term structures that we study, including equity options, currency options, credit default swaps, commodity futures, variance swaps, and inflation swaps.