Journal of Financial & Quantitative Analysis. Volume 53, Issue 4. August 2018

风险的不确定性与股票收益率

作者Guido Baltussen (van Bekkum)

Sjoerd van Bekkum (Erasmus University Rotterdam Erasmus School of Economics)

Bart van der Grient (Robeco Asset Management)

摘要：我们利用期望波动率的波动率（vol-of-vol）度量风险的不确定性，发现风险具有高度不确定性的股票，年收益率比风险不确定性低的股票显著低8%。这种波动率的波动率效应不同于之前发现的至少20多种收益率预测指标，该效应通过了多次的稳健性检验，并且在美国和欧洲股票市场均存在。我们实证检验了波动率的波动率效应背后的定价机制。证据表明，该效应更多的从基于偏好的角度得到解释，而替代性的角度解释力度较差。总之，我们的结果表明风险的不确定性与股票价格高度相关。

Unknown Unknowns: Uncertainty About Risk and Stock Returns

Guido Baltussen (van Bekkum)，Sjoerd van Bekkum (Erasmus University Rotterdam Erasmus School of Economics)，Bart van der Grient (Robeco Asset Management)

ABSTRACT

Stocks with high uncertainty about risk, as measured by the volatility of expected volatility (vol-of-vol), robustly underperform stocks with low uncertainty about risk by 8% per year. This vol-of-vol effect is distinct from (combinations of) at least 20 previously documented return predictors, survives many robustness checks, and holds in the United States and across European stock markets. We empirically explore the pricing mechanism behind the vol-of-vol effect. The evidence points toward preference-based explanations and away from alternative explanations. Collectively, our results show that uncertainty about risk is highly relevant for stock prices.

原文链接: https://www.cambridge.org/core/journals/journal-of-financial-and-quantitative-analysis/article/unknown-unknowns-uncertainty-about-risk-and-stock-returns/6E0E98349D20C1DCF67F3A0452361B80

翻译：汪国颂