Stock return predictability and variance risk premia: Statistical inference and international evidence

Publikation: Bidrag til tidsskrift/Konferencebidrag i tidsskrift /Bidrag til avisTidsskriftartikelForskningpeer review

  • Tim Bollerslev
  • James Marrone, Department of Economics, University of Chicago, Ukendt
  • Lai Xu, Whitman School of Management, Syracuse University, USA
  • Hao Zhou, PBC School of Finance, Tsinghua University, Kina

Recent empirical evidence suggests that the variance risk premium predicts aggregate stock market returns. We demonstrate that statistical finite sample biases cannot "explain" this apparent predictability. Further corroborating the existing evidence of the United States, we show that country-specific regressions for France, Germany, Japan, Switzerland, the Netherlands, Belgium, and the United Kingdom result in quite similar patterns. Defining a "global" variance risk premium, we uncover even stronger predictability and almost identical cross-country patterns through the use of panel regressions.

OriginalsprogEngelsk
TidsskriftJournal of Financial and Quantitative Analysis
Vol/bind49
Nummer3
Sider (fra-til)633-661
Antal sider29
ISSN0022-1090
DOI
StatusUdgivet - 1 jan. 2014

Se relationer på Aarhus Universitet Citationsformater

ID: 85206606