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债券风险在股权风险收益权衡中的作用

金融市场杂志。 1月12,2022

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最近的研究发现 VIX 与股票溢价之间没有明显或可靠的线性关系,而是表明存在非线性联系。 我们在一个包含 VIX 和国债风险 (MOVE) 的多风险框架中重新审视这个风险回报问题。 我们发现 MOVE 和股权溢价之间的部分关系随着经济状况而变化,尤其是在 1997 年末变得更加负向。考虑到这种经济变化,在部分意义上揭示了 VIX 和股权溢价之间的正线性关系。 我们的结果在替代规范和子周期分析中非常明显。

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