重构溢价：共动结构作为方差风险溢价的未 spanned 维度
The Reconfiguration Premium: Co-movement Structure as an Unspanned Dimension of the Variance Risk Premium
AI总结：
该研究将企业联动结构的重构速率作为方差风险溢价的未 spanned 维度，发现其与总方差风险溢价耦合，仅持续成分具有定价性，且存在三个预注册边界。
AI中文摘要：
对冲比率、因子模型和多元化投资组合均依赖于对企业间联动关系的估计。该估计并不稳定：企业会在市场视为一致的分组间迁移，当足够多企业迁移时，横截面的组织轴会发生转变。我们将这种转变的速率度量为连续12个月标普500相关矩阵的次主导特征空间之间主角度的均方正弦值。一个典型月份会重构五分之一的结构，并保留五分之四的结构。该速率具有定价性：其与t=5.40时的总方差风险溢价耦合，任何水平度量的相关性均不超过0.32，隐含相关性曲面最多覆盖该溢价的6.7%。仅持续成分具有定价性——该溢价补偿的是修订速率，而非移动距离。其机制为提前偿付：隐含方差立即上升，波动率在2至3个季度后跟进（模拟零假设在h=1-9时的p值<0.03），且溢价随波动率到来而收敛。存在三个预注册边界：无择时α、无崩盘保护、下行版本与强度不可分割。该溢价部分是对仍在重绘的图谱所持有敞口的租金。
英文摘要：
Hedge ratios, factor models and diversified portfolios all rest on an estimate of which firms move together. That estimate is not stable: firms migrate between the groupings the market treats as coherent, and when enough migrate the organizing axes of the cross-section turn. We measure the rate of that turning as the mean squared sine of the principal angles between subdominant eigenspaces of consecutive twelve-month S&P 500 correlation matrices. A typical month rewrites a fifth of the structure and carries four-fifths forward. That rate is priced: it couples to the aggregate variance risk premium at t = 5.40, no level measure correlates above 0.32, and the implied-correlation surface spans at most 6.7 percent of it. Only the persistent component is priced - the premium compensates the pace of revision, not the distance traveled. The mechanism is prepayment: implied variance rises on impact, volatility follows two to three quarters later (simulated-null p < 0.03 at h = 1-9), and the premium converges as it arrives. Three pre-registered boundaries hold: no timing alpha, no crash protection, and a downside version inseparable from intensity. The premium is, in part, rent on exposure held over a map still being redrawn.
