Variance risk premium and return predictability
Global Variance Risk Premium and Forex Return Predictability
... The results reported in Table 9 show that all three factors have significant predictive power for the carry portfolio returns in the sample from January 2000 to December 2011. Importantly, the global VRP significantly ...
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Volatility risk and stock return predictability on global financial crises
... the variance risk premium (VRP), has a significantly positive predictability for a nontrivial fraction of the time-series variation in post-1990 aggregate stock market ...of ...
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Variance-of-variance risk premium
... the return of VVP investment strategies over different holding periods and find that the return of a monthly variance-of-variance con- tract is indistinguishable from the holding-period ...
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Return Predictability under Equilibrium Constraints on the Equity Premium
... monthly return re- gressions is likely to be relatively weak and the literature on predictability of asset returns has documented predictability from several ...models. Return pre- dictability ...
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Risk premium, variance premium, and the maturity structure of uncertainty.
... Option settlement dates follow a regular pattern through time: contracts are available for 3 successive months, then for the next 3 months in the March, June, September, December cycle and, finally, for the next two ...
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The Variance Risk Premium and Fundamental Uncertainty
... conditional variance forecast can be interpreted as an interaction term: the predicted effect of a change in the long-term component is stronger the higher the forecast for the short-term component ...aggregate ...
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Political Risk and Stock Return Predictability
... political risk does vary by industry, no industry is entirely immune to the potential of a policy decision affecting how the industry ...political risk into account than smaller ...hire risk analysts ...
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Wavelet Analysis Of Variance Risk Premium Spillovers
... “cross variance shares” or “spillovers”, measuring the relative contribution of shock k to the variance the forecast error of series i (and ...the variance the forecast error of series ...the ...
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Quantifying the Variance Risk Premium in VIX Options
... the premium, market participants would benefit greatly from quantifying the size of this ...synthetic variance swap rates derived from option prices 2 ...a variance swap is the difference between the ...
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Essays on Bond Return Predictability and Liquidity Risk
... liquidity risk premium influences optimal portfolio allocations in ...mitigates risk arising from illiquidity, given that he/she does not face higher costs of buying or selling the bond before it ...
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International equity risk premium predictability in the frequency domain
... growth predictability on long-term data from Denmark, Sweden and the United Kingdom and show that predictability patterns in three European stock markets are in many ways different from what characterize ...
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Stock Return Predictability by using Market Ratio, Trading Volume, and Stock Variance
... The regression result of book-to-market ratio has a coefficient of 0.00260 and significance level of 0.0000. It means that book-to-market ratio has a negative significant effect to stock return ...
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Stock Return Predictability by using Market Ratio, Trading Volume, and Stock Variance
... The regression result of book-to-market ratio has a coefficient of 0.00260 and significance level of 0.0000. It means that book-to-market ratio has a negative significant effect to stock return ...
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Variance Risk Premium Differentials and Foreign Exchange Returns
... exchange return is the half of the difference between variances of the loga- 1 A positive shock to the domestic consumption growth volatility increases the variance of the log- arithm of the domestic ...
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Variance Risk Premium Differentials and Foreign Exchange Returns
... exchange return is the half of the difference between variances of the loga- 1 A positive shock to the domestic consumption growth volatility increases the variance of the log- arithm of the domestic ...
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International Volatility Risk and Chinese Stock Return Predictability
... Volatility Risk and Chinese Stock Return Predictability Abstract This paper investigates the predictive ability of international volatility risk for the daily aggre- gate Chinese stock market ...
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Corridor implied volatility and the variance risk premium in the Italian market
... the risk-neutral distribution are estimated with less precision than central values, due to the lack of liquid options for very high and very low ...asset risk neutral ...the variance risk ...
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Stock Return Predictability: Is it There?
... Rate Predictability We examine the possibility that the dividend yield predicts risk-free rates in Table 5, which reports coefficients of a regression of future annualized cumulated interest rates on log ...
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Stock Return Predictability: Is it There?
... find predictability at the 5% level for the one-year horizon, but only the earnings yield is significant (at the 5% level) for the five-year ...the risk-free rate in the trivariate regression does not ...
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Analyst Forecast Dispersion and Market Return Predictability: Does Conditional Equity Premium Play a Role?
... One of the intriguing anomalies in stock market is the dispersion effect, which is the phenomenon where stocks with higher dispersion in analysts’ forecasts earn lower returns subsequently (see, Diether et al. 2002). ...
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