This paper contributes to the literature on crude oil risk premiums by providing ex-ante measures of these premiums using survey oil price expectations over an extended period. These ex-ante premiums are uncorrelated with ex-post premiums commonly used in existing studies, whereas they are more relevant as they directly influence investors' decision-making. Utilizing a portfolio choice model, we explain the ex-ante premium as the product of the price of risk and the expected variance, both varying over time and across horizons. We estimate this relationship using a multivariate state-space framework. From our estimated risk prices we find, on average, that investors exhibit risk-seeking behaviour in the short term and risk aversion in the long term. It follows that the term structure of oil risk premiums are prominently upward-sloping. Additionally, consistent with the prospect theory, investors are found to be predominantly risk averse in a context of expected gains and risk-seeking in a context of expected losses. Finally, the dynamics of risk prices are shown to be driven by identifiable economic, financial, and oil market-related factors.

中文翻译：

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石油市场的风险溢价、风险价格和预期波动性：来自调查数据的证据


本文通过使用调查油价预期在较长时间内提供这些溢价的事前衡量标准，为有关原油风险溢价的文献做出了贡献。这些事前保费与现有研究中常用的事后保费无关，但它们更相关，因为它们直接影响投资者的决策。利用投资组合选择模型，我们将事前溢价解释为风险价格和预期方差的乘积，两者随时间和不同范围而变化。我们使用多变量状态空间框架来估计这种关系。从我们估计的风险价格中，我们发现，平均而言，投资者在短期内表现出寻求风险的行为，在长期内表现出风险厌恶行为。由此可见，石油风险溢价的期限结构明显向上倾斜。此外，与前景理论一致，发现投资者在预期收益的情况下主要是风险厌恶，而在预期损失的情况下寻求风险。最后，风险价格的动态被证明是由可识别的经济、金融和石油市场相关因素驱动的。