Tail risk premia and return predictability
Publication
, Journal Article
Bollerslev, T; Todorov, V; Xu, L
Published in: Journal of Financial Economics
October 1, 2015
The variance risk premium, defined as the difference between the actual and risk-neutral expectations of the forward aggregate market variation, helps predict future market returns. Relying on a new essentially model-free estimation procedure, we show that much of this predictability may be attributed to time variation in the part of the variance risk premium associated with the special compensation demanded by investors for bearing jump tail risk, consistent with the idea that market fears play an important role in understanding the return predictability.
Duke Scholars
Published In
Journal of Financial Economics
DOI
ISSN
0304-405X
Publication Date
October 1, 2015
Volume
118
Issue
1
Start / End Page
113 / 134
Related Subject Headings
- Finance
- 3801 Applied economics
- 3502 Banking, finance and investment
- 1606 Political Science
- 1502 Banking, Finance and Investment
- 1402 Applied Economics
Citation
APA
Chicago
ICMJE
MLA
NLM
Bollerslev, T., Todorov, V., & Xu, L. (2015). Tail risk premia and return predictability. Journal of Financial Economics, 118(1), 113–134. https://doi.org/10.1016/j.jfineco.2015.02.010
Bollerslev, T., V. Todorov, and L. Xu. “Tail risk premia and return predictability.” Journal of Financial Economics 118, no. 1 (October 1, 2015): 113–34. https://doi.org/10.1016/j.jfineco.2015.02.010.
Bollerslev T, Todorov V, Xu L. Tail risk premia and return predictability. Journal of Financial Economics. 2015 Oct 1;118(1):113–34.
Bollerslev, T., et al. “Tail risk premia and return predictability.” Journal of Financial Economics, vol. 118, no. 1, Oct. 2015, pp. 113–34. Scopus, doi:10.1016/j.jfineco.2015.02.010.
Bollerslev T, Todorov V, Xu L. Tail risk premia and return predictability. Journal of Financial Economics. 2015 Oct 1;118(1):113–134.
Published In
Journal of Financial Economics
DOI
ISSN
0304-405X
Publication Date
October 1, 2015
Volume
118
Issue
1
Start / End Page
113 / 134
Related Subject Headings
- Finance
- 3801 Applied economics
- 3502 Banking, finance and investment
- 1606 Political Science
- 1502 Banking, Finance and Investment
- 1402 Applied Economics