期刊
JOURNAL OF EMPIRICAL FINANCE
卷 44, 期 -, 页码 43-65出版社
ELSEVIER SCIENCE BV
DOI: 10.1016/j.jempfin.2017.06.001
关键词
Macroeconomic uncertainty; Scale-dependent risks; Scale-specific predictability; Monotonicity of factor loadings
A single factor that captures assets' exposure to business-cycle variation in macroeconomic uncertainty can explain the level and cross-sectional differences of asset returns. Specifically, based on portfolio-level tests I demonstrate that fluctuations in uncertainty with persistence ranging from 32 to 128 months carry a negative price of risk of about -2% annually. The price of risk for fluctuations with persistence outside of this range and for the raw series of aggregate uncertainty is insignificant. Also, equity exposures are negative and hence the corresponding risk premia are positive. I quantify macroeconomic uncertainty using the model-free index of Jurado et al. (2015) derived from monthly, quarterly and annual forecasts. (C) 2017 The Author. Published by Elsevier B.V.
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