Stock Return Predictability and Variance Risk Premia: Statistical Inference and International Evidence
研究发现方差风险溢价能预测股票市场收益，且这种预测性不能被统计小样本偏差解释。基于美、法、德等八国数据，全球方差风险溢价在面板回归中表现出更强的预测力。
Abstract Recent empirical evidence suggests that the variance risk premium predicts aggregate stock market returns. We demonstrate that statistical finite sample biases cannot “explain” this apparent predictability. Further corroborating the existing evidence of the United States, we show that country-specific regressions for France, Germany, Japan, Switzerland, the Netherlands, Belgium, and the United Kingdom result in quite similar patterns. Defining a “global” variance risk premium, we uncover even stronger predictability and almost identical cross-country patterns through the use of panel regressions.