منابع مشابه
Tail Risk Premia and Return Predictability∗
The variance risk premium, defined as the difference between the actual and riskneutral expectations of the forward aggregate market variation, helps predict future market returns. Relying on new essentially model-free estimation procedure, we show that much of this predictability may be attributed to time variation in the part of the variance risk premium associated with the special compensati...
متن کاملMarket Closure , Liquidity Premia , and Return Predictability ∗
In his seminal work, Constantinides (1986) finds that transaction cost has only a second order effect on liquidity premia. In this paper, we show that incorporating the well-established time-varying return dynamics across trading and nontrading periods can produce a first order effect that is much greater than that found by the existing literature and comparable to empirical evidence. Surprisin...
متن کاملTail Risk and Equity Risk Premia
This paper develops a new semi-parametric estimation method based on an extended ICAPM dynamic model incorporating jump tails. Themodel allows for time-varying, asymmetric jumpsizedistributions and a self-exciting jump intensity process while avoiding commonly used but restrictive affine assumptions on the relationship between jump intensity andvolatility. The estimatedmodel implies that the av...
متن کاملStock Return Predictability and Variance Risk Premia: Statistical Inference and International Evidence∗
Recent empirical evidence suggests that the variance risk premium, or the difference between risk-neutral and statistical expectations of the future return variation, predicts aggregate stock market returns, with the predictability especially strong at the 2-4 month horizons. We provide extensive Monte Carlo simulation evidence that statistical finite sample biases in the overlapping return reg...
متن کاملRevisiting the Predictability of Bond Risk Premia
This paper investigates the source of predictability of bond risk premia by means of long-term forward interest rates. We show that the predictive ability of forward rates could be due to the high serial correlation and cross-correlation of bond prices. After a simple reparametrization of models used to predict spot rates or excess returns, we nd that forward rates exhibit much less predictive...
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ژورنال
عنوان ژورنال: Journal of Financial Economics
سال: 2015
ISSN: 0304-405X
DOI: 10.1016/j.jfineco.2015.02.010