Variance Risk Premium Components and International Stock Return Predictability
نویسندگان
چکیده
منابع مشابه
Stock 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...
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ژورنال
عنوان ژورنال: SSRN Electronic Journal
سال: 2019
ISSN: 1556-5068
DOI: 10.2139/ssrn.3366592