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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

Volatility Risk and Stock Return Predictability on Global Financial Crises

Kongsilp, Worawuth - 2016

This paper investigates the role of volatility risk on stock return predictability specified on two global financial … volatility forecasting measures on future stock returns in four different periods (bear and bull markets). First we find clear … and robust empirical evidence that the implied idiosyncratic volatility is the best stock return predictor for every sub …

Persistent link: https://www.econbiz.de/10012999962

Variance Risk Premium in Individual Stocks : Aggregating Factor Variance Risk

Pyun, Sungjune - 2020

The risk premium of stocks due to priced variance risk is summarized to two variables -- the stock-specific price of variance risk (the difference between realized and option-implied variance) and the quantity (i.e., how stock prices respond to their variance shocks) of variance risk....

Persistent link: https://www.econbiz.de/10012855216

Predictability of Time-Varying Jump Premiums : Evidence Based on Calibration

Wang, Kent - 2014

This study supplies new evidence regarding the predictive power of jumps for conditional market returns and volatilities. We change the constant jump intensity as in the Liu et al. and Du models with time-varying intensity following an autoregressive conditional jump intensity process and a...

Persistent link: https://www.econbiz.de/10013048950

Price dividend ratio and long-run stock returns : a score-driven state space model

Delle Monache, Davide; Petrella, Ivan; Venditti, Fabrizio - In: Journal of business & economic statistics : JBES ; a … 39 (2021) 4, pp. 1054-1065

Persistent link: https://www.econbiz.de/10012653225

Ambiguity, long-run risks, and asset prices

Wei, Bin - 2021

I generalize the long-run risks (LRR) model of Bansal and Yaron (2004) by incorporating recursive smooth ambiguity aversion preferences from Klibanoff et al. (2005, 2009) and time-varying ambiguity. Relative to the Bansal-Yaron model, the generalized LRR model is as tractable but more flexible...

Persistent link: https://www.econbiz.de/10012617667

Can extreme returns predict thecross-section of expected returns in theBrazilian market?

Marques, Naielly Lopes; Klotzle, Marcelo Cabus; Pinto, … - In: Revista Brasileira de Finanças : RBFin 20 (2022) 1, pp. 62-81

Persistent link: https://www.econbiz.de/10013257698

Volatility of Volatility, Expected Stock Return and Variance Risk Premium

Wang, Ruoyang - 2015

Theory suggests a relationship between both volatility of volatility, variance risk premium, and the equity risk … premium. We empirically investigate the relationship between volatility of volatility and the equity risk premium, and the … relationship between the variance risk premium and the equity risk premium. We find that volatility of volatility alone explains 5 …

Persistent link: https://www.econbiz.de/10013035199

Price dividend ratio and long-run stock returns : a score driven state space model

Delle Monache, Davide; Petrella, Ivan; Venditti, Fabrizio - 2020

Persistent link: https://www.econbiz.de/10012299985

Roughing up beta : continuous versus discontinuous betas and the cross section of expected stock returns

Bollerslev, Tim; Li, Sophia Zhengzi; Todorov, Viktor - In: Journal of financial economics 120 (2016) 3, pp. 464-490

Persistent link: https://www.econbiz.de/10011590229