Variance risk premium and equity returns

Research in International Business and Finance - Tập 46 - Trang 462-470 - 2018
Athanasios P. Fassas1, Stephanos Papadamou1
1Department of Economics, University of Thessaly, 28 Octovriou str, 38333, Volos, Greece

Tài liệu tham khảo

Andersen, 2001, The distribution of realized stock return volatility, J. Finance Econ., 61, 43, 10.1016/S0304-405X(01)00055-1 Andersen, 2015, Exploring return dynamics via corridor implied volatility, Rev. Financial Stud., 28, 2902, 10.1093/rfs/hhv033 Bakshi, 2003, Delta-hedged gains and the negative market volatility risk premium, Rev. Financial Stud., 16, 527, 10.1093/rfs/hhg002 Bekaert, 2014, The VIX, the variance premium and stock market volatility, J. Econometr., 183, 181, 10.1016/j.jeconom.2014.05.008 Bekaert, 2013, Risk, uncertainty and monetary policy, J. Monetary Econ., 60, 771, 10.1016/j.jmoneco.2013.06.003 Bliss, 2004, Option‐implied risk aversion estimates, J. Finance, 59, 407, 10.1111/j.1540-6261.2004.00637.x Bollerslev, 2011, Tails, fears, and risk premia, J. Finance, 66, 2165, 10.1111/j.1540-6261.2011.01695.x Bollerslev, 2009, Expected stock returns and variance risk premia, Rev. Financial Stud., 22, 4463, 10.1093/rfs/hhp008 Bollerslev, 2011, Dynamic estimation of volatility risk premia and investor risk aversion from option-implied and realized volatilities, J. Econometr., 160, 235, 10.1016/j.jeconom.2010.03.033 Bollerslev, 2014, Stock return predictability and variance risk premia: statistical inference and international evidence, J. Finance Q. Anal., 49, 633, 10.1017/S0022109014000453 Carr, 2006, A tale of two indices, J. Derivatives, 13, 13, 10.3905/jod.2006.616865 Carr, 2009, Variance risk premiums, Rev. Financial Stud., 22, 1311, 10.1093/rfs/hhn038 Chernov, 2007, On the role of risk premia in volatility forecasting, J. Bus. Econ. Stat., 25, 411, 10.1198/073500106000000350 Demeterfi, 1999, More than you ever wanted to know about volatility swaps, Goldman Sachs Quant. Strategies Res. Notes, 41 Drechsler, 2013, Uncertainty, time‐varying fear, and asset prices, J. Finance, 68, 1843, 10.1111/jofi.12068 Drechsler, 2010, What’s vol got to do with it, Rev. Financial Stud., 24, 1, 10.1093/rfs/hhq085 Dupire, 1994, 327 Economou, 2018, Uncovering asymmetries in the relationship between fear and the stock market using a hidden co-integration approach, Res. Int. Bus. Finance, 44, 459, 10.1016/j.ribaf.2017.07.116 Gonzalez-Perez, 2015, Model-free volatility indexes in the financial literature: a review, Int. Rev. Econ. Finance, 40, 141, 10.1016/j.iref.2015.02.018 Konstantinidi, 2016, How does the market variance risk premium vary over time? Evidence from S&P 500 variance swap investment returns, J. Bank Finance, 62, 62, 10.1016/j.jbankfin.2015.10.006 Kourtis, 2016, An international comparison of implied, realized, and GARCH volatility forecasts, J. Fut. Mark., 36, 1164, 10.1002/fut.21792 Li, 2017, The variance risk premium: components, term structures, and stock return predictability, J. Bus. Econ. Stat. Londono, 2011 Low, 2004, The fear and exuberance from implied volatility of S&P 100 index options, J. Bus., 77, 527, 10.1086/386529 Neuberger, 1994, The log contract, J. Portfolio Manage., 20, 74, 10.3905/jpm.1994.409478 Poon, 2003, Forecasting volatility in financial markets: a review, J. Econ. Lit., 41, 478, 10.1257/.41.2.478 Prokopczuk, 2014, The importance of the volatility risk premium for volatility forecasting, J. Bank Finance, 40, 303, 10.1016/j.jbankfin.2013.12.002