Delis Manthos D, Savva Christos S, Theodossiou Panayiotis
Montpellier Business School, France.
Department of Commerce, Finance and Shipping, Cyprus University of Technology, Cyprus.
J Financ Stab. 2021 Apr;53:100840. doi: 10.1016/j.jfs.2020.100840. Epub 2020 Dec 30.
We study an equilibrium risk and return model to explore the effects of the coronavirus crisis and associated skewness on the market price of risk. We derive the moment and equilibrium equations, specifying skewness price of risk as an additive component of the effect of variance on mean expected return. We estimate our model using the flexible skewed generalized error distribution, for which we derive the distribution of returns and the likelihood function. Using S&P 500 Index returns from January 1980 to mid-October 2020, our results show that the coronavirus crisis generated a deeply negative reaction in the skewness and total market price of risk, more negative even than the subprime and the October 1987 crises.
我们研究了一个均衡风险与回报模型，以探究新冠病毒危机及相关偏度对风险市场价格的影响。我们推导了矩方程和均衡方程，将风险偏度价格指定为方差对平均预期回报影响的一个加性成分。我们使用灵活的偏态广义误差分布来估计我们的模型，并推导了该分布下的回报分布和似然函数。利用1980年1月至2020年10月中旬的标准普尔500指数回报数据，我们的结果表明，新冠病毒危机在偏度和总体风险市场价格方面引发了深度负面反应，甚至比次贷危机和1987年10月危机更为负面。
