Using the two alternative measures of the ex-ante unexpected volatility shock, we show that the volatility feedback effect plays an important role in the intertemporal risk-return tradeoff. The empirical results indicate that the volatility feedback effect reinforces the positive risk-return relation conditional on bad market news but attenuates the relation under good market news. The results provide strong evidence that an extremely heightened risk-return tradeoff caused by a high level of volatility feedback effect might lead to a market crash, even with no macroeconomic uncertainties in the markets. Also, the results show that the asymmetric volatility feedback effect is attributable to the negative correlation between the concurrent volatility and a price change. The state-dependent volatility feedback effect is observed for different market conditions such as high and low market sentiments and business cycles.

使用事前的两种替代措施意外的波动性冲击，我们表明波动性反馈效应在跨期风险收益权衡中发挥着重要作用。实证结果表明，波动反馈效应强化了市场利空消息条件下的正风险收益关系，但削弱了市场利好消息条件下的正风险收益关系。结果提供了强有力的证据，表明即使市场没有宏观经济不确定性，高水平的波动性反馈效应导致的风险收益权衡极度加剧也可能导致市场崩盘。此外，结果表明，不对称波动反馈效应归因于并发波动与价格变化之间的负相关性。