Name: Finance and Economics Discussion Series: Expected Stock Returns and Variance Risk Premia (en Inglés)
Price: 102833.00 COP
Availability: InStock
Author: Bollerslev, Tim ; Zhou, Hao ; United States Federal Reserve Board
ISBN: 9781288708857

portada Finance and Economics Discussion Series: Expected Stock Returns and Variance Risk Premia (en Inglés)

Formato

Libro Físico

Autor

Hao Zhou

United States Federal Reserve Board

Tim Bollerslev

Editorial

Bibliogov

Idioma

Inglés

N° páginas

Encuadernación

Tapa Blanda

Dimensiones

24.6 x 18.9 x 0.2 cm

Peso

0.08 kg.

ISBN13

9781288708857

Categorías

Política y gobierno

Finance and Economics Discussion Series: Expected Stock Returns and Variance Risk Premia (en Inglés)

Hao Zhou (Autor) · United States Federal Reserve Board (Autor) · Tim Bollerslev (Autor) · Bibliogov · Tapa Blanda

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Reseña del libro "Finance and Economics Discussion Series: Expected Stock Returns and Variance Risk Premia (en Inglés)"

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 DEGREES2 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.