Risk, Uncertainty, and Expected Returns
提出一个包含风险与不确定性的条件资产定价模型，发现股票组合对市场与不确定性因子的时变暴露具有正风险溢价，其中与方差风险溢价高度相关的组合年化溢价达8%。
Abstract A conditional asset pricing model with risk and uncertainty implies that the time-varying exposures of equity portfolios to the market and uncertainty factors carry positive risk premia. The empirical results from the size, book-to-market, momentum, and industry portfolios indicate that the conditional covariances of equity portfolios with market and uncertainty predict the time-series and cross-sectional variation in stock returns. We find that equity portfolios that are highly correlated with economic uncertainty proxied by the variance risk premium (VRP) carry a significant annualized 8% premium relative to portfolios that are minimally correlated with VRP.