A comprehensive look at the return predictability of variance risk premia
Author
Abstract
Suggested Citation
DOI: 10.1002/fut.21882
Download full text from publisher
References listed on IDEAS
- Zakamouline, Valeri & Koekebakker, Steen, 2009. "Portfolio performance evaluation with generalized Sharpe ratios: Beyond the mean and variance," Journal of Banking & Finance, Elsevier, vol. 33(7), pages 1242-1254, July.
- Ivo Welch & Amit Goyal, 2008.
"A Comprehensive Look at The Empirical Performance of Equity Premium Prediction,"
The Review of Financial Studies, Society for Financial Studies, vol. 21(4), pages 1455-1508, July.
- Amit Goyal & Ivo Welch, 2004. "A Comprehensive Look at the Empirical Performance of Equity Premium Prediction," Yale School of Management Working Papers amz2412, Yale School of Management, revised 01 Jan 2006.
- Amit Goyal & Ivo Welch & Athanasse Zafirov, 2021. "A Comprehensive Look at the Empirical Performance of Equity Premium Prediction II," Swiss Finance Institute Research Paper Series 21-85, Swiss Finance Institute.
- Amit Goval & Ivo Welch, 2004. "A Comprehensive Look at the Empirical Performance of Equity Premium Prediction," NBER Working Papers 10483, National Bureau of Economic Research, Inc.
- Karstanje, Dennis & Sojli, Elvira & Tham, Wing Wah & van der Wel, Michel, 2013.
"Economic valuation of liquidity timing,"
Journal of Banking & Finance, Elsevier, vol. 37(12), pages 5073-5087.
- Dennis Karstanje & Elvira Sojli & Wing Wah Tham & Michel van der Wel, 2013. "Economic Valuation of Liquidity Timing," Tinbergen Institute Discussion Papers 13-156/IV/DSF64, Tinbergen Institute.
- Tim Bollerslev & George Tauchen & Hao Zhou, 2009.
"Expected Stock Returns and Variance Risk Premia,"
The Review of Financial Studies, Society for Financial Studies, vol. 22(11), pages 4463-4492, November.
- Tim Bollerslev & Hao Zhou, 2006. "Expected stock returns and variance risk premia," Finance and Economics Discussion Series 2007-11, Board of Governors of the Federal Reserve System (U.S.).
- Tim Bollerslev & Tzuo Hao & George Tauchen, 2008. "Expected Stock Returns and Variance Risk Premia," CREATES Research Papers 2008-48, Department of Economics and Business Economics, Aarhus University.
- Tim Bollerslev & Hao Zhou, 2007. "Expected Stock Returns and Variance Risk Premia," CREATES Research Papers 2007-17, Department of Economics and Business Economics, Aarhus University.
- Bollerslev, Tim & Marrone, James & Xu, Lai & Zhou, Hao, 2014.
"Stock Return Predictability and Variance Risk Premia: Statistical Inference and International Evidence,"
Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 49(3), pages 633-661, June.
- Tim Bollerslev & James Marrone & Lai Xu & Hao Zhou, 2011. "Stock return predictability and variance risk premia: statistical inference and international evidence," Finance and Economics Discussion Series 2011-52, Board of Governors of the Federal Reserve System (U.S.).
- Larry G. Epstein & Stanley E. Zin, 2013.
"Substitution, risk aversion and the temporal behavior of consumption and asset returns: A theoretical framework,"
World Scientific Book Chapters, in: Leonard C MacLean & William T Ziemba (ed.), HANDBOOK OF THE FUNDAMENTALS OF FINANCIAL DECISION MAKING Part I, chapter 12, pages 207-239,
World Scientific Publishing Co. Pte. Ltd..
- Epstein, Larry G & Zin, Stanley E, 1989. "Substitution, Risk Aversion, and the Temporal Behavior of Consumption and Asset Returns: A Theoretical Framework," Econometrica, Econometric Society, vol. 57(4), pages 937-969, July.
- Larry G. Epstein & Stanley E. Zin, 1987. "Substitution, Risk Aversion and the Temporal Behaviour of Consumption and Asset Returns I: A Theoretical Framework," Working Paper 699, Economics Department, Queen's University.
- repec:bla:jfinan:v:44:y:1989:i:5:p:1177-89 is not listed on IDEAS
- Alexander W. Butler & Gustavo Grullon & James P. Weston, 2005. "Can Managers Forecast Aggregate Market Returns?," Journal of Finance, American Finance Association, vol. 60(2), pages 963-986, April.
- Ferreira, Miguel A. & Santa-Clara, Pedro, 2011.
"Forecasting stock market returns: The sum of the parts is more than the whole,"
Journal of Financial Economics, Elsevier, vol. 100(3), pages 514-537, June.
- Miguel A. Ferreira & Pedro Santa-Clara, 2008. "Forecasting Stock Market Returns: The Sum of the Parts is More than the Whole," NBER Working Papers 14571, National Bureau of Economic Research, Inc.
- Londono, Juan M. & Zhou, Hao, 2017.
"Variance risk premiums and the forward premium puzzle,"
Journal of Financial Economics, Elsevier, vol. 124(2), pages 415-440.
- Juan M. Londono & Hao Zhou, 2012. "Variance risk premiums and the forward premium puzzle," International Finance Discussion Papers 1068, Board of Governors of the Federal Reserve System (U.S.).
- Stambaugh, Robert F., 1999.
"Predictive regressions,"
Journal of Financial Economics, Elsevier, vol. 54(3), pages 375-421, December.
- Robert F. Stambaugh, 1999. "Predictive Regressions," NBER Technical Working Papers 0240, National Bureau of Economic Research, Inc.
- repec:bla:jfinan:v:58:y:2003:i:3:p:975-1008 is not listed on IDEAS
- Jonathan Ingersoll & Ivo Welch, 2007.
"Portfolio Performance Manipulation and Manipulation-proof Performance Measures,"
The Review of Financial Studies, Society for Financial Studies, vol. 20(5), pages 1503-1546, 2007 17.
- William Goetzmann & Jonathan Ingersoll & Matthew Spiegel & Ivo Welch, 2002. "Portfolio Performance Manipulation and Manipulation-Proof Performance Measures," Yale School of Management Working Papers amz2471, Yale School of Management, revised 01 Apr 2006.
- McCracken, Michael W., 2007. "Asymptotics for out of sample tests of Granger causality," Journal of Econometrics, Elsevier, vol. 140(2), pages 719-752, October.
- Jian Chen & Liya Shen & Xiaoke Wang & Haomiao Zuo, 2015. "The role of variance risk premium in predicting excess stock market return: out-of-sample evidences," Applied Economics Letters, Taylor & Francis Journals, vol. 22(17), pages 1382-1388, November.
- John Y. Campbell & Samuel B. Thompson, 2008.
"Predicting Excess Stock Returns Out of Sample: Can Anything Beat the Historical Average?,"
The Review of Financial Studies, Society for Financial Studies, vol. 21(4), pages 1509-1531, July.
- Campbell, John & Thompson, Samuel P., 2008. "Predicting Excess Stock Returns Out of Sample: Can Anything Beat the Historical Average?," Scholarly Articles 2622619, Harvard University Department of Economics.
- Ravi Bansal & Ivan Shaliastovich, 2013.
"A Long-Run Risks Explanation of Predictability Puzzles in Bond and Currency Markets,"
The Review of Financial Studies, Society for Financial Studies, vol. 26(1), pages 1-33.
- Ivan Shaliastovich & Ravi Bansal, 2012. "A Long-Run Risks Explanation of Predictability Puzzles in Bond and Currency Markets," 2012 Meeting Papers 778, Society for Economic Dynamics.
- Ravi Bansal & Ivan Shaliastovich, 2012. "A Long-Run Risks Explanation of Predictability Puzzles in Bond and Currency Markets," NBER Working Papers 18357, National Bureau of Economic Research, Inc.
- Clark, Todd E. & McCracken, Michael W., 2001.
"Tests of equal forecast accuracy and encompassing for nested models,"
Journal of Econometrics, Elsevier, vol. 105(1), pages 85-110, November.
- Todd E. Clark & Michael W. McCracken, 1999. "Tests of equal forecast accuracy and encompassing for nested models," Research Working Paper 99-11, Federal Reserve Bank of Kansas City.
- Todd E. Clark & Michael W. McCracken, 2000. "Tests of Equal Forecast Accuracy and Encompassing for Nested Models," Econometric Society World Congress 2000 Contributed Papers 0319, Econometric Society.
- Todd E. Clark & Michael McCracken, 1999. "Tests of Equal Forecast Accuracy and Encompassing for Nested Models," Computing in Economics and Finance 1999 1241, Society for Computational Economics.
- Daniel L. Thornton & Giorgio Valente, 2012. "Out-of-Sample Predictions of Bond Excess Returns and Forward Rates: An Asset Allocation Perspective," The Review of Financial Studies, Society for Financial Studies, vol. 25(10), pages 3141-3168.
- Wayne E. Ferson & Sergei Sarkissian & Timothy T. Simin, 2003.
"Spurious Regressions in Financial Economics?,"
Journal of Finance, American Finance Association, vol. 58(4), pages 1393-1413, August.
- Wayne E. Ferson & Sergei Sarkissian & Timothy Simin, 2002. "Spurious Regressions in Financial Economics?," NBER Working Papers 9143, National Bureau of Economic Research, Inc.
- Jeff Fleming & Chris Kirby & Barbara Ostdiek, 2001. "The Economic Value of Volatility Timing," Journal of Finance, American Finance Association, vol. 56(1), pages 329-352, February.
- Rangvid, Jesper, 2006. "Output and expected returns," Journal of Financial Economics, Elsevier, vol. 81(3), pages 595-624, September.
- repec:bla:jfinan:v:58:y:2003:i:4:p:1393-1414 is not listed on IDEAS
- Itamar Drechsler & Amir Yaron, 2011. "What's Vol Got to Do with It," The Review of Financial Studies, Society for Financial Studies, vol. 24(1), pages 1-45.
- Anderson, Robert M. & Bianchi, Stephen W. & Goldberg, Lisa R., 2012. "Will My Risk Parity Strategy Outperform?," Department of Economics, Working Paper Series qt23t2s950, Department of Economics, Institute for Business and Economic Research, UC Berkeley.
- Barroso, Pedro & Santa-Clara, Pedro, 2015. "Beyond the Carry Trade: Optimal Currency Portfolios," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 50(5), pages 1037-1056, October.
- Amit Goyal & Pedro Santa‐Clara, 2003. "Idiosyncratic Risk Matters!," Journal of Finance, American Finance Association, vol. 58(3), pages 975-1007, June.
- repec:bla:jfinan:v:59:y:2004:i:4:p:1481-1509 is not listed on IDEAS
- Aloosh, Arash, 2014. "Global Variance Risk Premium and Forex Return Predictability," MPRA Paper 59931, University Library of Munich, Germany.
- Wang, Hao & Zhou, Hao & Zhou, Yi, 2013. "Credit default swap spreads and variance risk premia," Journal of Banking & Finance, Elsevier, vol. 37(10), pages 3733-3746.
Citations
Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
Cited by:
- Su, Yuandong & Lu, Xinjie & Zeng, Qing & Huang, Dengshi, 2022. "Good air quality and stock market returns," Research in International Business and Finance, Elsevier, vol. 62(C).
- Wang, Jiqian & Lu, Xinjie & He, Feng & Ma, Feng, 2020. "Which popular predictor is more useful to forecast international stock markets during the coronavirus pandemic: VIX vs EPU?," International Review of Financial Analysis, Elsevier, vol. 72(C).
- Ding, Hui & Huang, Yisu & Wang, Jiqian, 2023. "Have the predictability of oil changed during the COVID-19 pandemic: Evidence from international stock markets," International Review of Financial Analysis, Elsevier, vol. 87(C).
- Chen, Steven Shu-Hsiu, 2024. "International crash risk premium," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 94(C).
- Li, Yan & Huo, Jiale & Xu, Yongan & Liang, Chao, 2023. "Belief-based momentum indicator and stock market return predictability," Research in International Business and Finance, Elsevier, vol. 64(C).
- Qiu, Rui & Liu, Jing & Li, Yan, 2023. "Long-term adjusted volatility: Powerful capability in forecasting stock market returns," International Review of Financial Analysis, Elsevier, vol. 86(C).
- Liu, Jing & He, Qiubei & Li, Yan & Huynh, Luu Duc Toan & Liang, Chao, 2023. "The change in stock-selection risk and stock market returns," International Review of Financial Analysis, Elsevier, vol. 85(C).
- Yabei Zhu & Xingguo Luo & Qi Xu, 2023. "Industry variance risk premium, cross‐industry correlation, and expected returns," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 43(1), pages 3-32, January.
- Li, Yan & Liang, Chao & Huynh, Toan Luu Duc, 2022. "Forecasting US stock market returns by the aggressive stock-selection opportunity," Finance Research Letters, Elsevier, vol. 50(C).
- George Dotsis, 2024. "A New Index of Option Implied Absolute Deviation," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 44(9), pages 1543-1555, September.
- Bai, Fan & Zhang, Yaqi & Chen, Zhonglu & Li, Yan, 2023. "The volatility of daily tug-of-war intensity and stock market returns," Finance Research Letters, Elsevier, vol. 55(PA).
- Chang, Hsuan-Ling & Nie, Wei-Ying & Chang, Li-Han & Cheng, Hung-Wen & Yen, Kuang-Chieh, 2023. "Cryptocurrency Momentum and VIX premium," Finance Research Letters, Elsevier, vol. 57(C).
Most related items
These are the items that most often cite the same works as this one and are cited by the same works as this one.- Aloosh, Arash, 2014. "Global Variance Risk Premium and Forex Return Predictability," MPRA Paper 59931, University Library of Munich, Germany.
- Pyun, Sungjune, 2019. "Variance risk in aggregate stock returns and time-varying return predictability," Journal of Financial Economics, Elsevier, vol. 132(1), pages 150-174.
- Rapach, David & Zhou, Guofu, 2013. "Forecasting Stock Returns," Handbook of Economic Forecasting, in: G. Elliott & C. Granger & A. Timmermann (ed.), Handbook of Economic Forecasting, edition 1, volume 2, chapter 0, pages 328-383, Elsevier.
- Yabei Zhu & Xingguo Luo & Qi Xu, 2023. "Industry variance risk premium, cross‐industry correlation, and expected returns," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 43(1), pages 3-32, January.
- Fabian Hollstein & Marcel Prokopczuk & Björn Tharann & Chardin Wese Simen, 2019.
"Predicting the equity market with option-implied variables,"
The European Journal of Finance, Taylor & Francis Journals, vol. 25(10), pages 937-965, July.
- Prokopczuk, Marcel & Tharann, Björn & Wese Simen, Chardin, 2017. "Predicting the Equity Market with Option Implied Variables," Hannover Economic Papers (HEP) dp-619, Leibniz Universität Hannover, Wirtschaftswissenschaftliche Fakultät.
- Ahmed, Shamim & Liu, Xiaoquan & Valente, Giorgio, 2016. "Can currency-based risk factors help forecast exchange rates?," International Journal of Forecasting, Elsevier, vol. 32(1), pages 75-97.
- Christopher J. Neely & David E. Rapach & Jun Tu & Guofu Zhou, 2014.
"Forecasting the Equity Risk Premium: The Role of Technical Indicators,"
Management Science, INFORMS, vol. 60(7), pages 1772-1791, July.
- Christopher J. Neely & David E. Rapach & Jun Tu & Guofu Zhou, 2010. "Out-of-sample equity premium prediction: economic fundamentals vs. moving-average rules," Working Papers 2010-008, Federal Reserve Bank of St. Louis.
- Christopher J. Neely & David E. Rapach & Jun Tu & Guofu Zhou, 2011. "Forecasting the Equity Risk Premium: The Role of Technical Indicators," Working Papers CoFie-02-2011, Singapore Management University, Sim Kee Boon Institute for Financial Economics.
- Qiao, Fang & Xu, Lai & Zhang, Xiaoyan & Zhou, Hao, 2024. "Variance risk premiums in emerging markets," Journal of Banking & Finance, Elsevier, vol. 167(C).
- Tom Engsted & Stig V. Møller & Magnus Sander, 2013. "Bond return predictability in expansions and recessions," CREATES Research Papers 2013-13, Department of Economics and Business Economics, Aarhus University.
- Andreou, Panayiotis C. & Kagkadis, Anastasios & Philip, Dennis & Taamouti, Abderrahim, 2019. "The information content of forward moments," Journal of Banking & Finance, Elsevier, vol. 106(C), pages 527-541.
- Xu, Yahua & Xiao, Jun & Zhang, Liguo, 2020. "Global predictive power of the upside and downside variances of the U.S. equity market," Economic Modelling, Elsevier, vol. 93(C), pages 605-619.
- Lansing, Kevin J. & LeRoy, Stephen F. & Ma, Jun, 2022.
"Examining the sources of excess return predictability: Stochastic volatility or market inefficiency?,"
Journal of Economic Behavior & Organization, Elsevier, vol. 197(C), pages 50-72.
- Kevin J. Lansing & Stephen F. LeRoy & Jun Ma, 2022. "Examining the Sources of Excess Return Predictability: Stochastic Volatility or Market Inefficiency?," Working Paper Series 2018-14, Federal Reserve Bank of San Francisco.
- Ahmed, Shamim & Tsvetanov, Daniel, 2016. "The predictive performance of commodity futures risk factors," Journal of Banking & Finance, Elsevier, vol. 71(C), pages 20-36.
- Ferreira, Miguel A. & Santa-Clara, Pedro, 2011.
"Forecasting stock market returns: The sum of the parts is more than the whole,"
Journal of Financial Economics, Elsevier, vol. 100(3), pages 514-537, June.
- Miguel A. Ferreira & Pedro Santa-Clara, 2008. "Forecasting Stock Market Returns: The Sum of the Parts is More than the Whole," NBER Working Papers 14571, National Bureau of Economic Research, Inc.
- Jiahan Li & Ilias Tsiakas & Wei Wang, 2015.
"Predicting Exchange Rates Out of Sample: Can Economic Fundamentals Beat the Random Walk?,"
Journal of Financial Econometrics, Oxford University Press, vol. 13(2), pages 293-341.
- Jiahan Li & Ilias Tsiakas & Wei Wang, 2014. "Predicting Exchange Rates Out of Sample: Can Economic Fundamentals Beat the Random Walk?," Working Paper series 05_14, Rimini Centre for Economic Analysis.
- Phan, Dinh Hoang Bach & Sharma, Susan Sunila & Narayan, Paresh Kumar, 2015.
"Stock return forecasting: Some new evidence,"
International Review of Financial Analysis, Elsevier, vol. 40(C), pages 38-51.
- Phan, Dinh Hoang Bach & Sharma, Susan Sunila & Narayan, Paresh Kumar, 2015. "Stock return forecasting: some new evidence," Working Papers fe_2015_13, Deakin University, Department of Economics.
- Qingjing Zhang & Taufiq Choudhry & Jing-Ming Kuo & Xiaoquan Liu, 2021. "Does liquidity drive stock market returns? The role of investor risk aversion," Review of Quantitative Finance and Accounting, Springer, vol. 57(3), pages 929-958, October.
- Daniel Mantilla-García & Vijay Vaidyanathan, 2017. "Predicting stock returns in the presence of uncertain structural changes and sample noise," Financial Markets and Portfolio Management, Springer;Swiss Society for Financial Market Research, vol. 31(3), pages 357-391, August.
- Choi, Yongok & Jacewitz, Stefan & Park, Joon Y., 2016. "A reexamination of stock return predictability," Journal of Econometrics, Elsevier, vol. 192(1), pages 168-189.
- Londono, Juan M. & Zhou, Hao, 2017.
"Variance risk premiums and the forward premium puzzle,"
Journal of Financial Economics, Elsevier, vol. 124(2), pages 415-440.
- Juan M. Londono & Hao Zhou, 2012. "Variance risk premiums and the forward premium puzzle," International Finance Discussion Papers 1068, Board of Governors of the Federal Reserve System (U.S.).
Corrections
All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:wly:jfutmk:v:38:y:2018:i:4:p:425-445. See general information about how to correct material in RePEc.
If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.
If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .
If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Wiley Content Delivery (email available below). General contact details of provider: http://www.interscience.wiley.com/jpages/0270-7314/ .
Please note that corrections may take a couple of weeks to filter through the various RePEc services.