Business-cycle variation in macroeconomic uncertainty and the cross-section of expected returns: Evidence for scale-dependent risks
研究发现，捕捉资产对宏观经济不确定性商业周期变化的暴露程度的一个单一因子，可以解释资产收益的水平和横截面差异。不确定性波动在32至128个月持续期内携带约-2%的年化风险价格，而股权暴露为负，对应正的风险溢价。
A single factor that captures assets’ exposure to business-cycle variation in macroeconomic uncertainty can explain the level and cross-sectional differences of asset returns. Specifically, based on portfolio-level tests I demonstrate that fluctuations in uncertainty with persistence ranging from 32 to 128 months carry a negative price of risk of about −2% annually. The price of risk for fluctuations with persistence outside of this range and for the raw series of aggregate uncertainty is insignificant. Also, equity exposures are negative and hence the corresponding risk premia are positive. I quantify macroeconomic uncertainty using the model-free index of Jurado et al. (2015) derived from monthly, quarterly and annual forecasts.