Adaptative predictability of stock market returns
This 2020 paper studies the volatility risk premium in equities over 2000–2015. The abstract mentions excess returns but not a benchmark, an out-of-sample test, transaction costs, multiple testing or the size of the universe.
“Finally, the time-varying coefficient predictive regressions show that the variance risk premium is a predictor of stock market excess returns before the global financial crisis of 2007, but its predictability decreases in the post global financial crisis period at the 3-month horizon.”
AssetEquities
StrategyVolatility risk premiummachine learning
GeographyGlobal
Sample window2000–2015
Also stated: Excess return, Options-implied
Missing from abstract: benchmark, out-of-sample test, costs, multiple testing, universe
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The paper's neighbourhoodVolatility risk premium by year
The family is counted across the whole universe. Asset, method and authors are counted inside the family.
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