The role of variance risk premium in predicting excess stock market return: out-of-sample evidences

被引：3
|
作者：
Chen, Jian [1 ,2 ]
Shen, Liya [3 ]
Wang, Xiaoke [4 ]
Zuo, Haomiao [5 ]
机构：
[1] Xiamen Univ, Sch Econ, Fujian Key Lab Stat Sci, Xiamen 361005, Peoples R China
[2] Xiamen Univ, Sch Econ, Dept Finance, Xiamen 361005, Peoples R China
[3] Univ Essex, Essex Business Sch, Colchester CO4 3SQ, Essex, England
[4] Xiamen Univ, Sch Management, Dept Accounting, Xiamen 361005, Peoples R China
[5] China Life Asset Management Co Ltd, Beijing 100033, Peoples R China
来源：
APPLIED ECONOMICS LETTERS | 2015年 / 22卷 / 17期
基金：
中国国家自然科学基金;
关键词：
variance risk premium; out-of-sample prediction; stock return predictability; PREDICTABILITY;
D O I：
10.1080/13504851.2015.1034831
中图分类号：
F [经济];
学科分类号：
02 ;
摘要：
This paper examines the out-of-sample performance of variance risk premium in predicting excess stock market returns across nine international markets. We assess the out-of-sample predictability through statistical and economic significance tests and find that the variance risk premium has strong forecasting power at the 4-month horizon for most of the international markets considered in this study. In addition, we find the predictability is even stronger during the recent financial crisis period.
引用
收藏
页码：1382 / 1388
页数：7
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