隐含风险厌恶:度量、影响因素与信息含量

Implied Risk Aversion: Measurement,Factors and Information Content

风险厌恶在金融研究中具有重要的作用。运用高阶矩方法提取中国台湾市场的隐含风险厌恶时间序列和期限结构,发现不同期限的隐含风险厌恶具有类似的特征且具有时变性。影响隐含风险厌恶的两个最重要因素是其自身的滞后项和投资者情绪。它对先验的风险溢酬具有重要的解释力,对投资者在高风险资产和低风险资产之间的偏好转换具有很强的预测力,对期权波动率曲面的整体水平和偏度特征也具有较强的预测力。

Risk aversion plays an important role in finance. We use the higher-moment method to recover the time series and the term structure of implied risk aversion in the Chinese Taiwan market. We find that implied risk aversion of different maturities has similar characteristics and is time-varying. The two most important affecting factors are the lags and the sentiment. Implied risk aversion has great explanation power on the priori premium,and has strong predictive power on the investor＇s preference between risky assets and riskless assets,the level of option volatility surface,and the skewness.