Aggregate Jump and Volatility Risk in the Cross‐Section of Stock Returns
通过构建可投资的期权交易策略，分离并检验了总体跳跃风险和波动风险在股票横截面回报中的定价作用，发现两者均能解释预期回报的差异，且高敏感度的股票预期回报更低。
ABSTRACT We examine the pricing of both aggregate jump and volatility risk in the cross‐section of stock returns by constructing investable option trading strategies that load on one factor but are orthogonal to the other. Both aggregate jump and volatility risk help explain variation in expected returns. Consistent with theory, stocks with high sensitivities to jump and volatility risk have low expected returns. Both can be measured separately and are important economically, with a two‐standard‐deviation increase in jump (volatility) factor loadings associated with a 3.5% to 5.1% (2.7% to 2.9%) drop in expected annual stock returns.