长期股权投资者的尾部风险溢价
Tail Risk Premia for Long-Term Equity Investors
摘要：
我们使用一个特定类别的掉期的P&L，代表方差和高阶矩的日志回报，作为估计在我们的实证研究的标准普尔500指数，调查的因素决定方差和高阶矩风险溢价。该类是具有Neuberger聚合特征的互换的离散化不变子类。除了市场超额收益率外，动量是偏度和峰度风险溢价的主要驱动因素，二者呈现高度显著的负相关关系。相比之下，方差风险溢价对规模的反应是积极的，对增长的反应是消极的，方差和尾部风险溢价之间的相关性相对较低，与以前的研究相比，特别是在高采样频率。这些发现扩展了先前对这些风险溢价决定因素的研究。此外，我们细致的数据构建方法避免了扭曲结果的不必要的伪影。
英文摘要：
We use the P&L on a particular class of swaps, representing variance and higher moments for log returns, as estimators in our empirical study on the S&P500 that investigates the factors determining variance and higher-moment risk premia. This class is the discretisation invariant sub-class of swaps with Neuberger's aggregating characteristics. Besides the market excess return, momentum is the dominant driver for both skewness and kurtosis risk premia, which exhibit a highly significant negative correlation. By contrast, the variance risk premium responds positively to size and negatively to growth, and the correlation between variance and tail risk premia is relatively low compared with previous research, particularly at high sampling frequencies. These findings extend prior research on determinants of these risk premia. Furthermore, our meticulous data-construction methodology avoids unwanted artefacts which distort results.
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