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How does the market variance risk premium vary over time? : evidence from S&P 500 variance swap investment returns
Konstantinidi, Eirini; Skiadopoulos, George - 2014
We explore whether the market variance risk premium (VRP) can be predicted. First, we propose a novel approach to … maturities and investment horizons and they are economically significant. Volatility trading strategies which condition on the …
Persistent link: https://www.econbiz.de/10010472838
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How does the market variance risk premium vary over time? : evidence from S&P 500 variance swap investment returns
Konstantinidi, Eirini; Skiadopoulos, George - 2014
We explore whether the market variance risk premium (VRP) can be predicted. First, we propose a novel approach to … maturities and investment horizons and they are economically significant. Volatility trading strategies which condition on the …
Persistent link: https://www.econbiz.de/10010412464
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Industry variance risk premium, cross-industry correlation, and expected returns
Zhu, Yabei; Luo, Xingguo; Xu, Qi - In: The journal of futures markets 43 (2023) 1, pp. 3-32
Persistent link: https://www.econbiz.de/10013465888
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Idiosyncratic volatility and the cross-section of anomaly returns : is risk your ally?
Zaremba, Adam; Maydybura, Alina - In: Applied economics 51 (2019) 49, pp. 5388-5397
Persistent link: https://www.econbiz.de/10012197236
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Option-implied information and predictability of extreme returns
Vilkovz, Grigory; Xiaox, Yan - 2013 - This version: January 28, 2013
construct managed portfolios of a risk-free asset and market index. …
Persistent link: https://www.econbiz.de/10010226098
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The skewness risk premium in equilibrium and stock return predictability
Sasaki, Hiroshi - In: Annals of finance 12 (2016) 1, pp. 95-133
Persistent link: https://www.econbiz.de/10011555439
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The VIX, the variance premium and stock market volatility
Bekaert, Geert; Hoerova, Marie - In: Journal of econometrics 183 (2014) 2, pp. 181-192
Persistent link: https://www.econbiz.de/10010506065
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Stock return and cash flow predictability : the role of volatility risk
Bollerslev, Tim; Xu, Lai; Zhou, Hao - In: Journal of econometrics 187 (2015) 2, pp. 458-471
Persistent link: https://www.econbiz.de/10011499728
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Idiosyncratic tail risk and expected stock returns : evidence from the Chinese stock markets
Long, Huaigang; Jiang, Yuexiang; Zhu, Yanjian - In: Finance research letters 24 (2018), pp. 129-136
Persistent link: https://www.econbiz.de/10011982519
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Tail risk and expected stock returns around the world
Long, Huaigang; Zhu, Yanjian; Chen, Lifang; Jiang, Yuexiang - In: Pacific-Basin finance journal 56 (2019), pp. 162-178
Persistent link: https://www.econbiz.de/10012169574