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Time-varying market price of risk in the CAPM: Approaches, empirical evidence and implications

机译：Capm中随时间变化的风险市场价格：方法，经验证据和影响

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摘要

Time-varying risk premia traditionally have been associated with the empirical fact that conditional second moments are time-varying. This paper additionally examines another possible source for time-varying risk premia, namely the market price of risk (lambda). For utility functions that do not imply constant risk aversion measures, the market price of risk will in general change over time. We provide empirical evidence for the German stock market in a bivariate GARCH-M framework using alternative specifications for lambda. The results indicate that a model with lambda being a function of typical volatility measures performs best for most series. To facilitate the interpretation of the results, we plot impulse response functions of the risk premia.
机译：传统上，随时间变化的风险溢价与有条件的第二时刻随时间变化的经验事实相关。本文还研究了时变风险溢价的另一种可能来源，即风险市场价格（lambda）。对于不暗示采取持续风险规避措施的效用函数，风险的市场价格通常会随时间变化。我们通过使用lambda的替代规范在二元GARCH-M框架中为德国股市提供经验证据。结果表明，lambda是典型波动率度量的函数的模型在大多数序列中表现最佳。为了便于解释结果，我们绘制了风险溢价的脉冲响应函数。

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