Expected Stock Returns and Variance Risk Premia
We find that the difference between implied and realized variances,or the variance risk premium,is able to explain more than fifteen percent of the ex-post time series variation in quarterly excess returns on the market portfolio over the 1990 to 2005 sample period,with high (low) premia predicting high (low) future returns. The magnitude of the return predictability of the variance risk premium easily dominates that afforded by standard predictor variables like the P/E ratio,the dividend yield,the default spread,and the consumption-wealth ratio (CAY). Moreover,combining the variance risk premium with the P/E ratio results in an R-square for the quarterly returns of more than twenty-five percent. The results depend crucially on the use of model-free,as opposed to standard Black-Scholes,implied variances,and realized variances constructed from high-frequency intraday,as opposed to daily,data. Our findings suggest that temporal variation in risk and risk-aversion both play an important role in determining stock market returns.
Return Predictability Implied Variance Realized Variance Equity Risk Premium Variance Risk Premium Time-Varying Risk Aversion.
Tim Bollerslev Hao Zhou
Department of Economics,Duke University,Post O_ce Box 90097,Durham NC 27708,and NBER,USA Division of Research and Statistics,Federal Reserve Board,Mail Stop 91,Washington DC 20551 USA
国际会议
成都
英文
2007-07-09（万方平台首次上网日期，不代表论文的发表时间）