Volatility Risk Premium, Risk Aversion, and the Cross‐Section of Stock Returns
检验投资者风险厌恶的变动是否为股票市场的定价因子，新因子与市场因子共同解释64%的平均收益变化，优于Fama-French模型的60%。
Abstract We test if innovations in investor risk aversion are a priced factor in the stock market. Using 25 portfolios sorted on book‐to‐market and size as test assets, our new factor together with the market factor explains 64% of the variation in average returns compared to 60% for the Fama‐French model. The new factor is generally significant with an estimated risk premium close to its time series mean also when industry portfolios and portfolios sorted on previous returns are augmented to the test assets.