拉斯维加斯9888

Finance Seminar（2013-24）

Topic:Realized Jump Risk and Conditional Equity Premium

Speaker:Hao Zhou, Tsinghua University

Time:Thursday, 12 December, 10:30-12:00

Location:Room 217, Guanghua Building 2

Abstract：Realized market-wide jump risk, which has an adverse effect on aggregate economic activity, predicts excess stock market returns in sample and out of sample. We find that both the realized jump risk and variance risk premium are significant determinants of conditional equity premium in multivariate predictive regressions. The predictability evidence of realized jump risk for stock market return is consistent with an economic uncertainty model in terms of both jump-in-volatility and volatility-in-volatility. Calibration evidence is also confirmative to the empirical findings.