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政大機構典藏 > 商學院 > 金融學系 > 期刊論文 > Item 140.119/148381

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Title:	Does variance risk premium predict expected returns?
Authors:	張興華;匡顯吉;林士貴 Chang, Alan;Kuang, Xian-Ji;Lin, Shih-Kuei;Hsu, Yueh-Hua
Contributors:	金融系
Keywords:	Variance risk premium;cross-section regression;return predictability;state dependence;high-frequency data
Date:	2023-02
Issue Date:	2023-11-30 14:58:35 (UTC+8)
Abstract:	The variance risk premium is a critical predictor of expected returns. However, numerous studies indicate that expected returns depend strongly on the state of the economy. Herein, we examine the effect of the variance risk premium in different market states by using cross – sectional regression and predictability of returns. Our empirical results show that the variance risk premium is a significantly priced factor in bull markets. Additionally, predicted return horizons are shorter in bear markets than in bull markets. Compared with that in bull markets, the predictive ability of the variance risk premium diminishes more rapidly in bear markets when the horizon period is lengthened.
Relation:	Applied Economics Letters, Vol.31, No.13, pp.1227-1233
Data Type:	article
DOI 連結:	https://doi.org/10.1080/13504851.2023.2178620
DOI:	10.1080/13504851.2023.2178620
Appears in Collections:	[金融學系] 期刊論文

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