本文主要目標為找出「道瓊斯工業平均指數 (DJIA 30)」及「其七個成分股」相關風險溢酬的解釋變量。我們使用以下七個成分股作為公司指標- 麥當勞（MCD），沃爾特迪斯尼（DIS），可口可樂（KO），國際商業機器股份有限公司 （IBM），摩根大通（JPM），寶潔公司（PG），美聯航科技公司（UTX）。
結果表明，投資者情緒可以解釋公司指標和道瓊指數大部分的相關風險溢酬和變異數風險溢酬斜率。 此外，消費者物價指數的不確定性可以解釋大部分公司的連續股價風險溢酬 (ERP1) 和跳躍變異數風險溢酬斜率 (VRP2 slope) 。 最後，公司的歷史報酬 (RET)，VIX指數 (VIX)，期限差 (TSPD)和違約利差 (DFSPD)皆對公司指標和道瓊指數的相關風險溢酬具有解釋力。

The main goal of this paper is to find out the explanatory variable in the related risk premia not only in the Dow Jones Industrial Average (DJIA 30) but also in its firms-level. We extrct the firm-level risk premia from seven component stocks— McDonald’s (MCD), Walt Disney (DIS), Coca-Cola (KO), IBM (IBM) and JPMorgan (JPM), Procter & Gamble Co (PG), United Technologies Co (UTX).
The results show that the investor sentiment can explain most of the related risk premia and variance risk premia slope in firm-level and index-level. Besides, uncertainty of CPI (UCPI) can explain more than half of seven companies’ diffusive equity risk premium (ERP1) and jump variance risk slope (VRP2 slope). Last, firm’s historical return (RET), VIX (VIX), term spread (TSPD) and default spread (DFSPD) also have explanatory power to the related risk premia in firm-level and index-level.

1 Introduction…………………………………………………………………………………1
2 Methodology……………………………………………………………………………………4
2.1 Real world (P measure)………………………………………………………4
2.2 Risk neutral world (Q measure)…………………………………6
2.3 Explained factors of risk premia……………………………8
3 Data………………………………………………………………………………………………………9
3.1 Real world (P measure)………………………………………………………9
3.2 Risk neutral world (Q measure)…………………………………10
4 Empirical Results……………………………………………………………………10
4.1 Real world (P measure)..…………………………………………………12
4.2 Risk neutral world (Q measure)…………………………………15
4.3 Equity risk premia..……………………………………………………………16
4.4 Variance risk premia……………………………………………………………20
4.5 The drivers of risk premia……………………………………………24
5 Conclusion………………………………………………………………………………………38
6 Future Research.………………………………………………………………………38
References……………………………………………………………………………………………………………40

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