Journal of Financial Economics，November 2018

投资者是否应该了解股票风险的择时？

作者：MichaelHasler(University of Toronto)

MarianaKhapko(University of Toronto)

RobertoMarfè (Collegio Carlo Alberto)

摘要：股票风险的期限结构已被证明是向下倾斜的。我们使用由暂时和永久部分驱动的动态收益来捕获此特征。我们研究当暂时和永久性部分不可观察从而需要估计时的资产配置和投资组合绩效。考虑到观察到的股票风险择时的策略优于那些不考虑股票风险择时的策略，这一结果在样本外尤为显著。实际上，由于对股票风险的择时进行正确建模意味着投资组合收益的激增，平均（中位数）确定性等价收益率从大约13％（12％）增加到大约21％（15％）。

Should investors learn about the timing of equity risk?

MichaelHasler(University of Toronto); MarianaKhapko(University of Toronto); RobertoMarfè (Collegio Carlo Alberto)

ABSTRACT

The term structure of equity risk has been shown to be downward sloping. We capture this feature using return dynamics driven by both a transitory and a permanent component. We study the asset allocation and portfolio performance when transitory and permanent components cannot be observed and therefore need to be estimated. Strategies that account for the observed timing of equity risk outperform those that do not, particularly so out of sample. Indeed, the mean (median) certainty equivalent return increases from about 13% (12%) to about 21% (15%) because properly modeling the timing of equity risk implies surges in portfolio returns.

原文链接：https://www.sciencedirect.com/science/article/pii/S0304405X18303209

翻译：黄涛