Stock Return Predictability and Variance Risk Premia around the ZLB
“Our new findings to be added to the literature are that (i) the correlation between VRP and future excess returns in the US is insignificant when the risk-free rate is close to zero, and (ii) the correlation in Japan is significantly negative.”
AssetEquities
StrategyVolatility risk premiummachine learning
GeographyUSJapan
ClaimExcess return
Missing from abstract: benchmark, out-of-sample test, costs, multiple testing, universe
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The paper's neighbourhoodVolatility risk premium by year
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