An intertemporal CAPM with stochastic volatility / by John Y. Campbell, Stefano Giglio, Christopher Polk, Robert Turley John Y. Campbell, Stefano Giglio, Christopher Polk, Robert Turley
Material type:
TextSeries: Journal of Financial Economics ; 128 (2)Publication details: Amsterdam Elsevier May 2018Description: Pages 207-233ISSN: - 0304-405X
| Cover image | Item type | Current library | Home library | Collection | Shelving location | Call number | Materials specified | Vol info | URL | Copy number | Status | Notes | Date due | Barcode | Item holds | Item hold queue priority | Course reserves | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Periodicals
|
College Library Periodical Section | Available |
Abstract
This paper studies the pricing of volatility risk using the first-order conditions of a long-term equity investor who is content to hold the aggregate equity market instead of overweighting value stocks and other equity portfolios that are attractive to short-term investors. We show that a conservative long-term investor will avoid such overweights to hedge against two types of deterioration in investment opportunities: declining expected stock returns and increasing volatility. We present novel evidence that low-frequency movements in equity volatility, tied to the default spread, are priced in the cross section of stock returns.
There are no comments on this title.