Department of Economics and Business Economics

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

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Stock return predictability and variance risk premia : Statistical inference and international evidence. / Bollerslev, Tim; Marrone, James; Xu, Lai; Zhou, Hao.

In: Journal of Financial and Quantitative Analysis, Vol. 49, No. 3, 01.01.2014, p. 633-661.

Research output: Contribution to journal/Conference contribution in journal/Contribution to newspaperJournal articleResearchpeer-review

Harvard

Bollerslev, T, Marrone, J, Xu, L & Zhou, H 2014, 'Stock return predictability and variance risk premia: Statistical inference and international evidence', Journal of Financial and Quantitative Analysis, vol. 49, no. 3, pp. 633-661. https://doi.org/10.1017/S0022109014000453

APA

Bollerslev, T., Marrone, J., Xu, L., & Zhou, H. (2014). Stock return predictability and variance risk premia: Statistical inference and international evidence. Journal of Financial and Quantitative Analysis, 49(3), 633-661. https://doi.org/10.1017/S0022109014000453

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MLA

Vancouver

Author

Bollerslev, Tim ; Marrone, James ; Xu, Lai ; Zhou, Hao. / Stock return predictability and variance risk premia : Statistical inference and international evidence. In: Journal of Financial and Quantitative Analysis. 2014 ; Vol. 49, No. 3. pp. 633-661.

Bibtex

@article{cd6b4acac3c64602891fd0741439d037,
title = "Stock return predictability and variance risk premia: Statistical inference and international evidence",
abstract = "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.",
author = "Tim Bollerslev and James Marrone and Lai Xu and Hao Zhou",
year = "2014",
month = "1",
day = "1",
doi = "10.1017/S0022109014000453",
language = "English",
volume = "49",
pages = "633--661",
journal = "Journal of Financial and Quantitative Analysis",
issn = "0022-1090",
publisher = "Cambridge University Press",
number = "3",

}

RIS

TY - JOUR

T1 - Stock return predictability and variance risk premia

T2 - Statistical inference and international evidence

AU - Bollerslev, Tim

AU - Marrone, James

AU - Xu, Lai

AU - Zhou, Hao

PY - 2014/1/1

Y1 - 2014/1/1

N2 - 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.

AB - 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.

U2 - 10.1017/S0022109014000453

DO - 10.1017/S0022109014000453

M3 - Journal article

AN - SCOPUS:84916202731

VL - 49

SP - 633

EP - 661

JO - Journal of Financial and Quantitative Analysis

JF - Journal of Financial and Quantitative Analysis

SN - 0022-1090

IS - 3

ER -