Expected Stock Returns and Variance Risk Premia
通过一般均衡模型和实证分析，发现方差风险溢价（隐含波动与已实现波动的差）能显著预测1990年后美国股市的季度收益，预测力强于市盈率等传统指标。
Motivated by the implications from a stylized self-contained general equilibrium model incorporating the effects of time-varying economic uncertainty, we show that the difference between implied and realized variation, or the variance risk premium, is able to explain a nontrivial fraction of the time-series variation in post-1990 aggregate stock market returns, with high (low) premia predicting high (low) future returns. Our empirical results depend crucially on the use of "model-free, " as opposed to Black--Scholes, options implied volatilities, along with accurate realized variation measures constructed from high-frequency intraday as opposed to daily data. The magnitude of the predictability is particularly strong at the intermediate quarterly return horizon, where it dominates that afforded by other popular predictor variables, such as the P/E ratio, the default spread, and the consumption--wealth ratio. The Author 2009. Published by Oxford University Press on behalf of The Society for Financial Studies. All rights reserved. For Permissions, please e-mail: journals.permissions@oxfordjournals.org., Oxford University Press.