Expected market returns: SVIX, realized volatility, and the role of dividends
复现了Martin（2017）的发现，即隐含波动率指标SVIX可预测美国股市未来12个月的收益，且该预测力在控制已实现波动率后依然存在，表明SVIX包含前瞻性信息。
Summary This note provides a replication of Martin's ( Quarterly Journal of Economics , 2017, 132 (1), 367–433) finding that the implied volatility measure SVIX predicts US stock market returns up to 12‐month horizons. I find that this result holds for both S&P 500 and CRSP market returns, regardless of whether returns include or exclude dividends. The predictability largely disappears after the SVIX index is replaced by an exponentially weighted moving average measure of realized volatility, suggesting that SVIX holds incremental forward‐looking information compared to realized volatility, despite the high correlation between the two volatility measures.