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高 VIX 阈值后的 Beta 和规模股权溢价

Christopher T. Stivers,博士 班萨尔,N. 康诺利
期货市场杂志。 可能是24,2022

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我们表明,只有在预期的股市波动率突破高门槛后,才能可靠地获得持有高贝塔股票(相对于低贝塔股票)和小盘股(相对于大盘股)的正风险溢价。大约第 80 个百分位。 当月超过此阈值时 𝑡-1,那么从 beta 和规模敞口中获得的相当大的正平均回报在几个月内持续明显 𝑡+1 到 𝑡+6; 否则溢价接近于零。 相反,我们发现 Fama-French HML、RMW 和 CMA 因子没有可比的阈值行为。 我们的调查表明,在这些阈值风险回报调查结果背后,有几种经济渠道可能是促成因素。

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