Reexamining financial and economic predictability with new estimators of realized variance and variance risk premium
“Using these new specifications, we determine that the equity variance risk premium is a predictor of future excess stock returns, whereas conditional variance predicts them only for long horizons.”
AssetEquities
StrategyVolatility risk premium
TechniqueClassical time series
GeographyGlobal
Also stated: 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
FamilyVolatility risk premium102Momentum and trend following289Factor investing240Machine learning return prediction15318 more · 900
The family is counted across the whole universe. Asset, method and authors are counted inside the family.
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