The joint cross-sectional variation of equity returns and volatilities

This paper analyzes the determinants of the simultaneous cross-sectional variation of return and volatility risk premia. Independently of the model specification employed, the estimated risk premium associated with the default premium beta is always positive and statistically different from zero. Mo...

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Detalles Bibliográficos
Autores: González Urteaga, Ana, Rubio Irigoyen, Gonzalo
Tipo de recurso: artículo
Estado:Versión aceptada para publicación
Fecha de publicación:2017
País:España
Institución:Universidad Pública de Navarra
Repositorio:Academica-e. Repositorio Institucional de la Universidad Pública de Navarra
OAI Identifier:oai:academica-e.unavarra.es:2454/34755
Acceso en línea:https://hdl.handle.net/2454/34755
Access Level:acceso abierto
Palabra clave:Return risk premia
Volatility risk premia
Linear factor models
Default premium
Return and volatility market segmentation
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spelling The joint cross-sectional variation of equity returns and volatilitiesGonzález Urteaga, AnaRubio Irigoyen, GonzaloReturn risk premiaVolatility risk premiaLinear factor modelsDefault premiumReturn and volatility market segmentationThis paper analyzes the determinants of the simultaneous cross-sectional variation of return and volatility risk premia. Independently of the model specification employed, the estimated risk premium associated with the default premium beta is always positive and statistically different from zero. Moreover, the risk premium of the market volatility risk premium beta is negative and statistically significant. However, both risk factors are priced economically and statistically differently in the volatility and return segments of the market. On average, common factors in both segments explain 90% of the variability of volatility risk premium portfolios, but only 65% of the variability of equity return portfolios.The authors acknowledge financial support from the Ministry of Economics and Competitiveness through grant ECO2015-67035-P. In addition, Gonzalo Rubio acknowledges financial support from the Bank of Spain, and Generalitat Valenciana grantPROMETEOII/2013/015, and Ana González-Urteaga from Ministry of Economics and Competitiveness through grant ECO2016-77631-R.ElsevierGestión de EmpresasEnpresen Kudeaketa2017info:eu-repo/semantics/articleinfo:eu-repo/semantics/acceptedVersionapplication/pdfhttps://hdl.handle.net/2454/34755reponame:Academica-e. Repositorio Institucional de la Universidad Pública de Navarrainstname:Universidad Pública de NavarraInglésinfo:eu-repo/grantAgreement/MINECO//ECO2015-67035-Pinfo:eu-repo/grantAgreement/ES/1PE/ECO2016-77631-R© 2016 Elsevier B.V. The manuscript version is made available under the CC BY-NC-ND 4.0 license.https://creativecommons.org/licenses/by-nc-nd/4.0/info:eu-repo/semantics/openAccessoai:academica-e.unavarra.es:2454/347552026-06-17T12:41:47Z
dc.title.none.fl_str_mv The joint cross-sectional variation of equity returns and volatilities
title The joint cross-sectional variation of equity returns and volatilities
spellingShingle The joint cross-sectional variation of equity returns and volatilities
González Urteaga, Ana
Return risk premia
Volatility risk premia
Linear factor models
Default premium
Return and volatility market segmentation
title_short The joint cross-sectional variation of equity returns and volatilities
title_full The joint cross-sectional variation of equity returns and volatilities
title_fullStr The joint cross-sectional variation of equity returns and volatilities
title_full_unstemmed The joint cross-sectional variation of equity returns and volatilities
title_sort The joint cross-sectional variation of equity returns and volatilities
dc.creator.none.fl_str_mv González Urteaga, Ana
Rubio Irigoyen, Gonzalo
author González Urteaga, Ana
author_facet González Urteaga, Ana
Rubio Irigoyen, Gonzalo
author_role author
author2 Rubio Irigoyen, Gonzalo
author2_role author
dc.contributor.none.fl_str_mv Gestión de Empresas
Enpresen Kudeaketa
dc.subject.none.fl_str_mv Return risk premia
Volatility risk premia
Linear factor models
Default premium
Return and volatility market segmentation
topic Return risk premia
Volatility risk premia
Linear factor models
Default premium
Return and volatility market segmentation
description This paper analyzes the determinants of the simultaneous cross-sectional variation of return and volatility risk premia. Independently of the model specification employed, the estimated risk premium associated with the default premium beta is always positive and statistically different from zero. Moreover, the risk premium of the market volatility risk premium beta is negative and statistically significant. However, both risk factors are priced economically and statistically differently in the volatility and return segments of the market. On average, common factors in both segments explain 90% of the variability of volatility risk premium portfolios, but only 65% of the variability of equity return portfolios.
publishDate 2017
dc.date.none.fl_str_mv 2017
dc.type.none.fl_str_mv info:eu-repo/semantics/article
info:eu-repo/semantics/acceptedVersion
format article
status_str acceptedVersion
dc.identifier.none.fl_str_mv https://hdl.handle.net/2454/34755
url https://hdl.handle.net/2454/34755
dc.language.none.fl_str_mv Inglés
language_invalid_str_mv Inglés
dc.relation.none.fl_str_mv info:eu-repo/grantAgreement/MINECO//ECO2015-67035-P
info:eu-repo/grantAgreement/ES/1PE/ECO2016-77631-R
dc.rights.none.fl_str_mv © 2016 Elsevier B.V. The manuscript version is made available under the CC BY-NC-ND 4.0 license.
https://creativecommons.org/licenses/by-nc-nd/4.0/
info:eu-repo/semantics/openAccess
rights_invalid_str_mv © 2016 Elsevier B.V. The manuscript version is made available under the CC BY-NC-ND 4.0 license.
https://creativecommons.org/licenses/by-nc-nd/4.0/
eu_rights_str_mv openAccess
dc.format.none.fl_str_mv application/pdf
dc.publisher.none.fl_str_mv Elsevier
publisher.none.fl_str_mv Elsevier
dc.source.none.fl_str_mv reponame:Academica-e. Repositorio Institucional de la Universidad Pública de Navarra
instname:Universidad Pública de Navarra
instname_str Universidad Pública de Navarra
reponame_str Academica-e. Repositorio Institucional de la Universidad Pública de Navarra
collection Academica-e. Repositorio Institucional de la Universidad Pública de Navarra
repository.name.fl_str_mv
repository.mail.fl_str_mv
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score 15,812429

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