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Stats › Opties, shorts en positionering › Variantierisicopremie

The variance risk premium predicts the index one quarter ahead and no other horizon

Variance risk premium: 6.82%+6.82%Variance riskpremiumLog price earnings: 6.55%+6.55%Log priceearningsPrice dividend ratio: 4.19%+4.19%Price dividendratioConsumption wealth ratio: 4.13%+4.13%Consumptionwealth ratio

Adjusted R squared forecasting quarterly S&P 500 excess returns, January 1990 to December 2007. t statistics 2.86, minus 1.97, insignificant and 1.78. Default spread, term spread and the relative risk-free rate are all insignificant and are not shown.

Implied variance minus realised variance forecasts S&P 500 excess returns at a quarterly horizon with an adjusted R squared of 6.82%, beating the price-earnings ratio. At a monthly horizon the same predictor is not significant.

6.82%Adjusted R squared forecasting quarterly S&P 500 excess returns, t = 2.86
1.07%The same regression at a monthly horizon, t = 1.76
6.55%Adjusted R squared of the log price-earnings ratio at the quarterly horizon
19.74%Combining the two predictors with all controls

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Below this point there are 4 sections and 1 named source, roughly 400 words of it. Every figure carries the source it came from and the date the data is from.

Je kunt elke statistiek in de bibliotheek gratis blijven bekijken. De intro en de samenvatting zijn altijd open.