Predictability Puzzles
基于现值计算的动态均衡模型预测回报具有可预测性，但实证发现期权隐含波动率和已实现波动率无法预测回报，而方差风险溢价仅在长期预测回报，且其期限结构与均衡解释不一致，形成两个谜题。
Abstract Dynamic equilibrium models based on present value computation not only imply that returns are predictable but also generate particular short-term patterns of predictability in asset returns. I take advantage of this to construct a set of tests of equilibrium generated predictability (EGP). I apply the tests to document two puzzles: First, option-implied or realized measures of volatility ought to predict returns but do not; and second, the variance risk premium (VRP) predicts returns but only at long horizons. VRP fails the tests of EGP as the term structure of predictable variation is inconsistent with an equilibrium interpretation.