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首页> 外文会议>2007 China International Conference in Finance >Expected Stock Returns and Variance Risk Premia
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Expected Stock Returns and Variance Risk Premia

机译：预期股票收益率和方差风险溢价

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We find that the diu000berence between implied and realized variances, or the vari- ance risk premium, is able to explain more than fifteen percent of the ex-post time series variation in quarterly excess returns on the market portfolio over the 1990 to 2005 sample period, with high (low) premia predicting high (low) future returns. The magnitude of the return predictability of the variance risk premium easily dominates that au000borded by standard predictor variables like the P/E ratio, the dividend yield, the default spread, and the consumption-wealth ratio (CAY). Moreover, combining the variance risk premium with the P/E ratio results in an R-square for the quar- terly returns of more than twenty-five percent. The results depend crucially on the use of “model-free”, as opposed to standard Black-Scholes, implied variances, and re- alized variances constructed from high-frequency intraday, as opposed to daily, data. Our findings suggest that temporal variation in risk and risk-aversion both play an important role in determining stock market returns.
机译：我们发现，隐含和实现的方差之间的差异或方差风险溢价能够解释1990年至2005年样本期间市场投资组合的季度超额收益的事后时间序列变化的15％以上。 ，高（低）溢价可预测高（低）未来回报。方差风险溢价的收益可预测性的大小很容易主导由标准预测变量（例如市盈率，股利收益率，默认利差和消费财富率（CAY））所支撑的au000。此外，将方差风险溢价与本益比相结合，得出的季度回报的R平方超过25％。与标准的Black-Scholes相对，结果的关键取决于“无模型”的使用，隐含方差和由高频日内数据（而非每日数据）构成的实际方差。我们的发现表明，风险的暂时性变化和规避风险在决定股市收益方面都起着重要作用。

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