Stock Returns and Volatility: Pricing the Short‐Run and Long‐Run Components of Market Risk
将股市波动分解为短期和长期成分，发现两者风险价格均为负且显著，说明投资者愿为波动上升保险，短期成分反映市场偏度风险（金融约束紧度），长期成分关联商业周期风险。
ABSTRACT We explore the cross‐sectional pricing of volatility risk by decomposing equity market volatility into short‐ and long‐run components. Our finding that prices of risk are negative and significant for both volatility components implies that investors pay for insurance against increases in volatility, even if those increases have little persistence. The short‐run component captures market skewness risk, which we interpret as a measure of the tightness of financial constraints. The long‐run component relates to business cycle risk. Furthermore, a three‐factor pricing model with the market return and the two volatility components compares favorably to benchmark models.