Industry variance risk premium, cross‐industry correlation, and expected returns
利用行业指数和交易所交易基金期权数据，构建行业方差风险溢价和跨行业相关性指标，发现它们能预测行业和市场收益，且优于市场方差风险溢价。
Abstract We investigate the variance risk premium (VRP) and implied correlation (IC) at the industry level. Using the index and sector exchange‐traded fund options, we construct‐sector VRPs and cross‐sector IC measures. Sector VRPs predict sector returns, and adding the average sector VRP with IC improves predictability. Combining the average sector VRP and IC outperforms the market VRP in predicting market returns both in‐sample and out‐of‐sample and generates sizeable economic values. We document a strong spillover effect from sector VRPs to the market VRP. The average sector VRP and cross‐sector IC contain information beyond the market VRP and cross‐stock IC.