Dynamics of Variance Risk Premia, Investors' Sentiment and Return Predictab...

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英文文献：Dynamics of Variance Risk Premia, Investors' Sentiment and Return Predictability-方差风险溢价、投资者情绪和回报可预测性的动态
英文文献作者：Jeroen V.K. Rombouts,Lars Stentoft,Francesco Violante
英文文献摘要：
We develop a joint framework linking the physical variance and its risk neutral expectation implying variance risk premia that are persistent, appropriately reacting to changes in level and variability of the variance and naturally satisfying the sign constraint. Using option market data and realized variances, our model allows to infer the occurrence and size of extreme variance events, and construct indicators signalling agents sentiment towards future market conditions. Our results show that excess returns are to a large extent explained by fear or optimism towards future extreme variance events and only marginally by the premium associated with normal price fluctuations.

我们建立了一个联合框架，将物理方差与其风险中性期望联系起来，这意味着方差风险溢价是持续的，对方差的水平和变异性的变化作出适当的反应，并自然地满足符号约束。利用期权市场数据和已实现的方差，我们的模型可以推断极端方差事件的发生和大小，并构建指标，表明代理人对未来市场条件的情绪。我们的研究结果显示，超额回报在很大程度上是由对未来极端变化事件的恐惧或乐观解释的，而只有少量与正常价格波动相关的溢价解释的。

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