Volatility Expectations and Returns
研究发现投资者对股市波动率的预期反应缓慢，先对波动冲击反应不足，随后过度反应。这种模式体现在VIX和方差风险溢价中，并有助于解释风险收益权衡弱或为负等市场异象。
ABSTRACT We provide evidence that agents have slow‐moving beliefs about stock market volatility that lead to initial underreaction to volatility shocks followed by delayed overreaction. These dynamics are mirrored in the VIX and variance risk premiums, which reflect investor expectations about volatility, and are also supported in both surveys and firm‐level option prices. We embed these expectations into an asset pricing model and find that the model can account for a number of stylized facts about market returns and return volatility that are difficult to reconcile, including a weak or even negative risk‐return trade‐off.