IDEAS home Printed from https://ideas.repec.org/a/taf/apeclt/v22y2015i17p1382-1388.html
   My bibliography  Save this article

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

Author

Listed:
  • Jian Chen
  • Liya Shen
  • Xiaoke Wang
  • Haomiao Zuo

Abstract

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.

Suggested Citation

  • Jian Chen & Liya Shen & Xiaoke Wang & Haomiao Zuo, 2015. "The role of variance risk premium in predicting excess stock market return: out-of-sample evidences," Applied Economics Letters, Taylor & Francis Journals, vol. 22(17), pages 1382-1388, November.
    • Handle: RePEc:taf:apeclt:v:22:y:2015:i:17:p:1382-1388
    DOI: 10.1080/13504851.2015.1034831
    as

    Download full text from publisher

    File URL: http://hdl.handle.net/10.1080/13504851.2015.1034831
    Download Restriction: Access to full text is restricted to subscribers.
    File URL: https://libkey.io/10.1080/13504851.2015.1034831?utm_source=ideas
    LibKey link: if access is restricted and if your library uses this service, LibKey will redirect you to where you can use your library subscription to access this item
    ---><---

    As the access to this document is restricted, you may want to search for a different version of it.

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    Cited by:

    1. Suk Joon Byun & Bart Frijns & Tai‐Yong Roh, 2018. "A comprehensive look at the return predictability of variance risk premia," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 38(4), pages 425-445, April.

    More about this item

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:taf:apeclt:v:22:y:2015:i:17:p:1382-1388. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Chris Longhurst (email available below). General contact details of provider: http://www.tandfonline.com/RAEL20 .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.