Good and Bad Variance Premia and Expected Returns
将方差溢价分解为好坏两部分，分别对应正负市场回报的风险补偿，发现两者共同预测未来一到两年的超额收益，好成分系数为正、坏成分为负，对股票和债券收益的解释力达10%至20%。
We measure “good” and “bad” variance premia that capture risk compensations for the realized variation in positive and negative market returns, respectively. The two variance premium components jointly predict excess returns over the next one and two years with statistically significant positive (negative) coefficients on the good (bad) component. The R 2 s reach about 10% for aggregate equity and portfolio returns and 20% for corporate bond returns. To explain the new empirical evidence, we develop a model that highlights the differential impact of upside and downside risk on equity and variance risk premia. The online appendix is available at https://doi.org/10.1287/mnsc.2017.2890 . This paper was accepted by Neng Wang, finance.