The information content of the implied volatility term structure on future returns
研究了隐含方差期限结构与标的资产预期超额收益之间的理论关系，发现期限结构变量对预测标普500指数短期超额收益有显著且互补于水平变量的信息含量。
Abstract We derive the theoretical relation between the term structure of implied variance and the expected excess returns of the underlying asset. Adopting three alternative approaches to compile the variables representing the information on the implied volatility index level and term structure, we show the important role of the term structure in determining future excess returns of the S&P 500 index. Both the in‐sample and out‐of‐sample analyses suggest that the information content of the term structure variable is significant and a strong complement to that of the level variable, especially for shorter‐term excess returns.