Journal of Financial & Quantitative Analysis. Volume 50, Issue 6 December 2015

信念异质性与波动率尾部行为

作者：Gurdip Bakshi (University of Maryland, Smith School of Business)

Dilip Madan (University of Maryland, Smith School of Business, College Park)

George Panayotov (Hong Kong University of Science and Technology, School of Business)

摘要：我们提出了一个波动率尾部行为（投资者同时厌恶低波动和高波动状态的现象）的模型，由此推导出来的定价核在波动率维度上存在上升和下降的空间。该模型刻画了投资者关于波动率产出的信念具有异质性，并且他们会根据波动率选择现金流来实现个人效用最大化。我们实证检验的结果表明不论是在定性上还是定量上，该模型都更好地再现了波动率左尾分布的数据特征。

Heterogeneity in Beliefs and Volatility Tail Behavior

Gurdip Bakshi (University of Maryland, Smith School of Business), Dilip Madan (University of Maryland, Smith School of Business, College Park), George Panayotov (Hong Kong University of Science and Technology, School of Business)

ABSTRACT

We propose a model of volatility tail behavior in which investors display aversion to both low-volatility and high-volatility states, and hence, the derived pricing kernel exhibits an increasing and decreasing region in the volatility dimension. The model features investors who have heterogeneity in beliefs about volatility outcomes and maximize their utility by choosing volatility-contingent cash flows. Our empirical examination suggests that the model is better suited to reproduce data features in the left tail of the volatility distribution, both qualitatively and quantitatively.

原文链接: https://www.cambridge.org/core/journals/journal-of-financial-and-quantitative-analysis/article/heterogeneity-in-beliefs-and-volatility-tail behavior/FD3FAAF277C103AC087643996F1126E8

翻译：汪国颂