Variance Risk Premia, Asset Predictability Puzzles, and Macroeconomic Uncertainty

This article reviews the predictability evidence on the variance risk premium: ( a ) It predicts significant positive risk premia across equity, bond, currency, and credit markets; ( b ) the predictability peaks at few-month horizons and dies out afterward; ( c ) such a short-run predictability is c...

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Published inAnnual review of financial economics Vol. 10; no. 1; pp. 481 - 497
Main Author Zhou, Hao
Format Journal Article
LanguageEnglish
Published Annual Reviews 01.01.2018
Subjects
asset return predictability
macroeconomic uncertainty
recursive utility function
variance risk premium
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Abstract This article reviews the predictability evidence on the variance risk premium: ( a ) It predicts significant positive risk premia across equity, bond, currency, and credit markets; ( b ) the predictability peaks at few-month horizons and dies out afterward; ( c ) such a short-run predictability is complementary to the long-run predictability offered by the price-to-earnings ratio, forward rate, interest differential, and leverage ratio. Several structural approaches based on the notion of economic uncertainty are discussed for generating these stylized facts about the variance risk premium, which has broad implications for various empirical asset pricing puzzles.
AbstractList This article reviews the predictability evidence on the variance risk premium: ( a) It predicts significant positive risk premia across equity, bond, currency, and credit markets; ( b) the predictability peaks at few-month horizons and dies out afterward; ( c) such a short-run predictability is complementary to the long-run predictability offered by the price-to-earnings ratio, forward rate, interest differential, and leverage ratio. Several structural approaches based on the notion of economic uncertainty are discussed for generating these stylized facts about the variance risk premium, which has broad implications for various empirical asset pricing puzzles.
This article reviews the predictability evidence on the variance risk premium: ( a ) It predicts significant positive risk premia across equity, bond, currency, and credit markets; ( b ) the predictability peaks at few-month horizons and dies out afterward; ( c ) such a short-run predictability is complementary to the long-run predictability offered by the price-to-earnings ratio, forward rate, interest differential, and leverage ratio. Several structural approaches based on the notion of economic uncertainty are discussed for generating these stylized facts about the variance risk premium, which has broad implications for various empirical asset pricing puzzles.
Author Zhou, Hao
AuthorAffiliation PBC School of Finance, Tsinghua University, Beijing 100083, China; email
zhouh@pbcsf.tsinghua.edu.cn
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– name: PBC School of Finance, Tsinghua University, Beijing 100083, China; email
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  fullname: Zhou, Hao
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Snippet This article reviews the predictability evidence on the variance risk premium: ( a ) It predicts significant positive risk premia across equity, bond,...
This article reviews the predictability evidence on the variance risk premium: (a) It predicts significant positive risk premia across equity, bond, currency,...
This article reviews the predictability evidence on the variance risk premium: ( a) It predicts significant positive risk premia across equity, bond, currency,...
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StartPage 481
SubjectTerms asset return predictability
macroeconomic uncertainty
recursive utility function
variance risk premium
Title Variance Risk Premia, Asset Predictability Puzzles, and Macroeconomic Uncertainty
URI http://dx.doi.org/10.1146/annurev-financial-110217-022737
https://www.jstor.org/stable/26774130
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