Changing Variances of Fundamentals and the Behavior of Returns (Economics)

基本面方差的变化和回报行为（经济学）

• 批准号: 8902794
• 负责人: Karen Lewis
• 金额: --
• 依托单位: University of Pennsylvania
• 依托单位国家: 美国
• 项目类别: Standard Grant
• 财政年份: 1990
• 资助国家: 美国
• 起止时间: 1990-06-01 至 1991-11-30
• 项目状态: 已结题
• 来源: https://www.nsf.gov/awardsearch/showAward?AWD_ID=8902794&HistoricalAwards=false
• 关键词: Changing; Variances; Fundamentals; Behavior; Returns

The time-varying nature of ex ante predictable movements across different assets has emerged as an empirical regularity in recent studies of foreign exchange, the term premium, and stock returns. Dr. Lewis will investigate the potential effects upon these ex ante returns from changing variances of fundamentals. She will study these effects by addressing three basic questions: (1) During periods of significant changes in the variance of fundamentals, do risk premia across different types of assets move systematically in the direction implied by the ICAPM? (2) Are the variances of fundamentals sufficiently mean-reverting to help explain the empirical puzzle found in Lewis (1988), that the constant covariance ("beta") ICAPM is rejected at shorter but not longer horizons? (3) If variances of fundamental change periodically, do market expectations of these potential shifts exacerbate the time-varying nature of returns? Dr. Lewis will teach a Ph.D. level course in international macroeconomics/finance. In addition, she will conduct faculty seminars based on her research, attend faculty meetings, counsel women graduate students, and present business and government women economist guest speakers to undergraduate students. This project furthers VPW program objectives which are (1) to provide opportunities for women to advance their careers in engineering and in the disciplines of science supported by NSF and (2) to encourage women to pursue careers in science and engineering by providing greater visibility for women scientists and engineers employed in industry, government, and academic institutions. By encouraging the participation of women in science, it is a valuable investment in the Nation's future scientific vitality.

在最近的外汇、期限溢价和股票回报研究中，不同资产的事前可预测变动的随时间变化的性质已成为一种经验规律。 刘易斯博士将研究基本面变化变化对这些事前回报的潜在影响。 她将通过解决三个基本问题来研究这些影响：（1）在基本面方差发生重大变化的时期，不同类型资产的风险溢价是否按照 ICAPM 所暗示的方向系统性地变化？ (2) 基本面的方差是否足以均值回归，以帮助解释 Lewis (1988) 中发现的经验难题，即常数协方差（“beta”）ICAPM 在较短但不是较长的时间范围内被拒绝？ (3) 如果基本面的方差周期性变化，市场对这些潜在变化的预期是否会加剧收益的时变性？ 刘易斯博士将教授博士学位。国际宏观经济学/金融水平课程。 此外，她还将根据她的研究举办教师研讨会、参加教师会议、为女研究生提供咨询，并向本科生介绍商业和政府女性经济学家的客座演讲。 该项目进一步推进了 VPW 计划的目标，即 (1) 为女性提供在 NSF 支持的工程和科学学科领域推进职业生涯的机会，以及 (2) 通过提高女性在科学和工程领域的知名度，鼓励女性从事科学和工程领域的职业生涯。受雇于工业、政府和学术机构的女科学家和工程师。 通过鼓励女性参与科学，这是对国家未来科学活力的宝贵投资。