The Variance Risk Premium: Components, Term Structures, and Stock Return Predictability
提出一个灵活的资产定价模型，捕捉价格与波动的共同跳跃及自激跳跃聚类，基于不同期限的股票收益和方差互换率估计模型，发现总方差风险溢价为负且期限结构向下倾斜，而跳跃成分的期限结构向上倾斜，短期跳跃方差风险溢价对极端事件的剧烈持续反应使其成为投资者对市场崩盘恐惧的代理指标，且方差风险溢价的水平、斜率及其成分有助于改善股票超额收益的短期可预测性。
This article examines the properties of the variance risk premium (VRP). We propose a flexible asset pricing model that captures co-jumps in prices and volatility, and self-exciting jump clustering. We estimate the model on equity returns and variance swap rates at different horizons. The total VRP is negative and has a downward-sloping term structure, while its jump component displays an upward-sloping term structure. The abrupt and persistent response of the short-term jump VRP to extreme events makes this specific premium a proxy for investors’ fear of a market crash. Furthermore, the use of the VRP level and slope, and of its components, helps improve the short-run predictability of equity excess returns.