The long and the short of the risk-return trade-off

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dc.contributor.authorMARCO ANTONIO CESAR BONOMO
dc.contributor.authorGarcia, René
dc.contributor.authorMeddahi, Nour
dc.contributor.authorTédongap, Roméo
dc.coverage.cidadeNão informadopt_BR
dc.coverage.paisNão Informadopt_BR
dc.creatorGarcia, René
dc.creatorMeddahi, Nour
dc.creatorTédongap, Roméo
dc.date.accessioned2022-10-28T17:07:09Z
dc.date.available2022-10-28T17:07:09Z
dc.date.issued2015
dc.description.otherThe relationship between conditional volatility and expected stock market returns, the so-called risk return trade-off, has been studied at high- and low-frequency. We propose an asset pricing model with generalized disappointment aversion preferences and short- and long-run volatility risks that captures several stylized facts associated with the risk-return trade-off at short and long horizons. Writing the model in Bonomo et al. (2011) at the daily frequency, we aim at reproducing the moments of the variance premium and realized volatility, the long-run predictability of cumulative returns by the past cumulative variance, the short-run predictability of returns by the variance premium, as well as the daily autocorrelation patterns at many lags of the VIX and of the variance premium, and the daily cross correlations of these two measures with leads and lags of daily returns. By keeping the same calibration as in this previous paper, we ensure that the model is capturing the first and second moments of the equity premium and the risk-free rate, and the predictability of returns by the dividend yield. Overall adding generalized disappointment aversion to the Kreps–Porteus specification improves the fit for both the short-run and the long-run risk-return trade-offs.pt_BR
dc.format.extentp. 580-592pt_BR
dc.format.mediumDigitalpt_BR
dc.identifier.doihttp://dx.doi.org/10.1016/j.jeconom.2015.02.040 0304-4076pt_BR
dc.identifier.urihttps://repositorio.insper.edu.br/handle/11224/4546
dc.identifier.volume187pt_BR
dc.language.isoInglêspt_BR
dc.publisherElsevierpt_BR
dc.relation.ispartofJournal of Econometricspt_BR
dc.rights.licenseO INSPER E ESTE REPOSITÓRIO NÃO DETÊM OS DIREITOS DE USO E REPRODUÇÃO DOS CONTEÚDOS AQUI REGISTRADOS. É RESPONSABILIDADE DOS USUÁRIOS INDIVIDUAIS VERIFICAR OS USOS PERMITIDOS NA FONTE ORIGINAL, RESPEITANDO-SE OS DIREITOS DE AUTOR OU EDITORpt_BR
dc.subject.keywordsEquilibrium asset pricingpt_BR
dc.subject.keywordsTime-aggregationpt_BR
dc.subject.keywordsRealized measurespt_BR
dc.titleThe long and the short of the risk-return trade-offpt_BR
dc.typejournal article
dspace.entity.typePublication
local.identifier.sourceUrihttps://www.sciencedirect.com/science/article/pii/S0304407615000652
local.subject.cnpqCiências Sociais Aplicadaspt_BR
local.typeArtigo Científicopt_BR
relation.isAuthorOfPublicationd54ec806-4e91-4f4f-8724-e3a23d67b3aa
relation.isAuthorOfPublication.latestForDiscoveryd54ec806-4e91-4f4f-8724-e3a23d67b3aa
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