Predicting Market Returns Using Covariance Asymmetry Risk Premium
从期权数据中提取隐含协方差不对称性，其风险溢价能显著预测未来1个月至2年的超额市场回报，并在样本外为投资者带来经济收益。
ABSTRACT Implied covariance asymmetry is a market‐wide measure defined as the average of the absolute difference between the downside and upside pairwise co‐movements of individual stocks, estimated from options data. Its risk premium is linked to improved long‐term economic conditions and significantly forecasts excess market returns from 1 month to 2 years. This predictive power persists at horizons beyond 6 months after controlling for popular financial and economic predictors in in‐sample analyses. It also translates into superior out‐of‐sample forecasts and substantial economic gains for a mean‐variance investor, particularly over medium and long horizons.