Risk‐neutral moments and return predictability: International evidence
نویسندگان
چکیده
This paper documents risk-neutral moments of returns on 29 country-/region-specific ETFs to provide international uncertainty proxies for as many locations possible. Our evidence shows these can generally reflect idiosyncratic information from markets, but the predictive abilities are heterogeneous among them. The panel prediction that standard deviation ( V O L $$ VOL ) positively predict, skewness S K E W SKEW and excess kurtosis U R T KURT negatively future in time-series analysis. Moreover, results post-ranking performance show with low average earn an extra 4.55% annualized monthly return, compared those high .
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ژورنال
عنوان ژورنال: Journal of Forecasting
سال: 2022
ISSN: ['0277-6693', '1099-131X']
DOI: https://doi.org/10.1002/for.2926