Return Extrapolation and Volatility Expectations
首次系统证明，投资者将过去收益外推至未来的行为会导致波动率预期出现偏差：过去收益越低，预期波动率越高，且近期负收益的影响更大，进而使投资者为规避感知到的高波动支付更多保费。
Abstract This article provides the first comprehensive evidence that the return extrapolation behavior of investors leads to biases in the expectations of volatility. Lower past returns are associated with higher expectations of volatility when using the physical, risk-neutral, and survey measures to estimate volatility expectations. Consistent with the return extrapolation framework, recent past returns have a larger impact than distant past returns on volatility expectations. Biases in volatility expectations are i) distinct from extrapolating past realized volatility, ii) asymmetrically induced by recent past negative returns, and iii) lead investors to pay more to insure against the perceived higher expected volatility.