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

Chen, J and Shen, L and Wang, X and Zuo, H (2015) 'The role of variance risk premium in predicting excess stock market return: out-of-sample evidences.' Applied Economics Letters, 22 (17). 1382 - 1388. ISSN 1350-4851

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Abstract

© 2015 Taylor & Francis. 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.

Item Type: Article
Subjects: H Social Sciences > HB Economic Theory
Divisions: Faculty of Social Sciences > Essex Business School
Faculty of Social Sciences > Essex Business School > Essex Finance Centre
Depositing User: Jim Jamieson
Date Deposited: 24 Sep 2015 12:27
Last Modified: 04 Dec 2017 22:38
URI: http://repository.essex.ac.uk/id/eprint/15044

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