Improving the predictability of real economic activity and asset returns with forward variances inferred from option portfolios

• 成果类型: Article
• 署名作者: Bakshi, Gurdip; Panayotov, George; Skoulakis, Georgios
• 署名单位: University System of Maryland; University of Maryland College Park; Georgetown University
• 刊物名称: JOURNAL OF FINANCIAL ECONOMICS
• ISSN/ISSBN: 0304-405X
• DOI: 10.1016/j.jfineco.2011.01.002
• 发表日期: 2011
• 页码: 475-495
• 关键词: Predictability; Traded market variance; real economic activity; Treasury returns; Stock market returns; Joint predictability

摘要

This paper presents an option positioning that allows us to infer forward variances from option portfolios. The forward variances we construct from equity index options help to predict (i) growth in measures of real economic activity, (ii) Treasury bill returns, (iii) stock market returns, and (iv) changes in variance swap rates. Our yardstick for measuring predictive ability is both individual and joint parameter statistical significance within a market, as well as across a set of markets. (C) 2011 Elsevier B.V. All rights reserved.