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1、THEJOURNALOFFINANCE•VOL.LXX,NO.2•APRIL2015AggregateJumpandVolatilityRiskintheCross-SectionofStockReturnsMARTIJNCREMERS,MICHAELHALLING,andDAVIDWEINBAUM∗ABSTRACTWeexaminethepricingofbothaggregatejumpandvolatilityriskinthecross-sectionofstockreturnsbyconstructinginvestableoptiontradingstrategie
2、sthatloadononefactorbutareorthogonaltotheother.Bothaggregatejumpandvolatilityriskhelpexplainvariationinexpectedreturns.Consistentwiththeory,stockswithhighsensi-tivitiestojumpandvolatilityriskhavelowexpectedreturns.Bothcanbemeasuredseparatelyandareimportanteconomically,withatwo-standard-devia
3、tionincreaseinjump(volatility)factorloadingsassociatedwitha3.5%to5.1%(2.7%to2.9%)dropinexpectedannualstockreturns.AGGREGATESTOCKMARKETvolatilityvariesovertime.Thishasimportantim-plicationsforassetpricesinthecross-sectionandisthesubjectofmuchre-centresearch(e.g.,Angetal.(2006)).1Thereisalsoev
4、idencethataggregatejumpriskistime-varying.Forexample,Bates(1991)showsthatout-of-the-moneyputsbecameunusuallyexpensiveduringtheyearprecedingthecrashofOctober1987.Hisanalysisrevealssignificanttimevariationintheconditionalexpectationsofjumpsinaggregatestockmarketreturns.Santa-ClaraandYan(2010)us
5、eoptionpricestocalibrateamodelinwhichboththevolatilityofthediffusionshocksandtheintensityofthejumpsareallowedtochangeovertime.Theylikewisefindsubstantialtimevariationinthejumpintensitypro-cess,withaggregateimpliedjumpprobabilitiesrangingfrom0%toover99%.∗CremersisatMendozaCollegeofBusiness,Uni
6、versityofNotreDame.HallingisatStockholmSchoolofEconomics,UniversityofUtah.WeinbaumisatWhitmanSchoolofManage-ment,SyracuseUniversity.TheauthorsthankGurdipBakshi,TuranBali,HankBessembinder,OlegBondarenko,NicoleBranger,FousseniChabi-Yo(WFAdiscussant),JosephChen,MagnusDahlquist,JamesDoran,WayneF
7、erson,FangjianFu,KrisJacobs,ChrisJones,NikunjKapadia,ChristianSchlag,GrigoryVilkov(EFAdiscussant),ShuYan,YildirayYildirim,HaoZhou,andseminarparticipantsatBostonUniversity,ESMTBerlin,ImperialCollegeLondon,StockholmSchoolofEconomics,the2013IFSIDandBa
