Nonlinearity and Flight‐to‐Safety in the Risk‐Return Trade‐Off for Stocks and Bonds
研究发现股票和债券收益对过去股市波动率（VIX）存在显著的非线性依赖，并提出了新的估计方法。非线性模式在股票和债券中呈镜像关系，揭示了避险行为：波动率从中等升至高位时，股票预期收益上升，而国债预期收益下降。
ABSTRACT We document a highly significant, strongly nonlinear dependence of stock and bond returns on past equity market volatility as measured by the VIX. We propose a new estimator for the shape of the nonlinear forecasting relationship that exploits variation in the cross‐section of returns. The nonlinearities are mirror images for stocks and bonds, revealing flight‐to‐safety: expected returns increase for stocks when volatility increases from moderate to high levels while they decline for Treasuries. These findings provide support for dynamic asset pricing theories in which the price of risk is a nonlinear function of market volatility.