Tail risk premia and return predictability

• 成果类型: Article
• 署名作者: Bollerslev, Tim; Todorov, Viktor; Xu, Lai
• 署名单位: Duke University; National Bureau of Economic Research; CREATES; Northwestern University; Syracuse University
• 刊物名称: JOURNAL OF FINANCIAL ECONOMICS
• ISSN/ISSBN: 0304-405X
• DOI: 10.1016/j.jfineco.2015.02.010
• 发表日期: 2015
• 页码: 113-134
• 关键词: Variance risk premium; Time-varying jump tails; Market sentiment and fears; Return predictability

摘要

The variance risk premium, defined as the difference between the actual and risk-neutral expectations of the forward aggregate market variation, helps predict future market returns. Relying on a new essentially model-free estimation procedure, we show that much of this predictability may be attributed to time variation in the part of the variance risk premium associated with the special compensation demanded by investors for bearing jump tail risk, consistent with the idea that market fears play an important role in understanding the return predictability. (C) 2015 Elsevier B.V. All rights reserved.