The conditional equity premium, cross-sectional returns and stochastic volatility

doi:10.1016/j.econmod.2014.01.009

科研成果详情

题名	The conditional equity premium, cross-sectional returns and stochastic volatility
作者	Fung，Ka Wai Terence 1; Lau，Chi Keung Marco 2; Chan，Kwok Ho 1
发表日期	2014
发表期刊	Economic Modelling
ISSN/eISSN	0264-9993
卷号	38 页码:316-327
摘要	Bansal and Yaron (2004) demonstrate, by calibration, that the Consumption-based Capital Asset Pricing Model (CCAPM) can be rescued by assuming that consumption growth rate follows a stochastic volatility model. They show that the conditional equity premium is a linear function of conditional consumption and market return volatilities, which can be estimated handily by various Generalized Autoregressive Conditonal Heteroskedasticity (GARCH) and Stochastic Volatility (SV) models. We find that conditional consumption and market volatilities are capable of explaining cross-sectional return differences. The Exponential GARCH (EGARCH) volatility can explain up to 55% variation of return and the EGARCH model augmented with cay^ - a cointegrating factor of consumption, labor income and asset wealth growth - greatly enhances model performance. We proceed to test another hypothesis: if Bansal and Yaron estimator is an unbiased estimator of true conditional equity premium, then the instrumental variables for estimating conditional equity premium should no longer be significant. We demonstrate that once the theoretical conditional risk premium is added to the model, it renders all instrumental variables redundant. Also, the model prediction is consistent with observed declining equity premium. © 2014 Elsevier B.V.
关键词	Equity premium puzzle Fama-French model Financial economics Macroeconomics and monetary economics
DOI	10.1016/j.econmod.2014.01.009
URL	查看来源
语种	英语English
Scopus入藏号	2-s2.0-84893983664
引用统计	被引频次：4[WOS] [WOS记录] [WOS相关记录]
文献类型	期刊论文
条目标识符	https://repository.uic.edu.cn/handle/39GCC9TT/6499
专题	北师香港浸会大学
通讯作者	Fung，Ka Wai Terence
作者单位	1.Division of Business and Management,United International College- Beijing Normal University,B414, 28, Jinfeng Road, Tangjiawan,Zhuhai, Guangdong Prov. 519085,China 2.Newcastle Business School,Northumbria University,Newcastle upon Tyne,United Kingdom
第一作者单位	北师香港浸会大学
通讯作者单位	北师香港浸会大学
推荐引用方式 GB/T 7714	Fung，Ka Wai Terence,Lau，Chi Keung Marco,Chan，Kwok Ho. The conditional equity premium, cross-sectional returns and stochastic volatility[J]. Economic Modelling, 2014, 38: 316-327.
APA	Fung，Ka Wai Terence, Lau，Chi Keung Marco, & Chan，Kwok Ho. (2014). The conditional equity premium, cross-sectional returns and stochastic volatility. Economic Modelling, 38, 316-327.
MLA	Fung，Ka Wai Terence,et al."The conditional equity premium, cross-sectional returns and stochastic volatility". Economic Modelling 38(2014): 316-327.