Journal of Financial Markets, Available online 20 June 2016, In Press, Corrected Proof — Note to users

远期方差和股票预期收益率

作者：Xingguo Luo (College of Economics and Academy of Financial Research, Zhejiang University), Jin E. Zhang (Otago Business School, University of Otago)

摘要：Bakshi、 Panayotov和Skoulakis (2011)发现远期方差能够预测真实的经济活动和资产收益率。本文使用1992年1月至2009年8月间芝加哥期权交易所（CBOE）波动性指数（VIX）的期限结构数据研究这一关系。我们发现3个月、6个月和9个月远期方差的特定组合（单一远期方差因子）能够预测1个月、3个月和6个月范围内的股票市场收益率。使用9个部门变量中的 7个构成的远期方差也能够预测股票市场收益率和真实的经济活动。样本外分析证实了单一远期方差因子的预测能力。

关键词：股票收益；远期方差；预测性

Expected stock returns and forward variance

Xingguo Luo (College of Economics and Academy of Financial Research, Zhejiang University), Jin E. Zhang (Otago Business School, University of Otago)

ABSTRACT

Bakshi, Panayotov, and Skoulakis (2011) show that forward variances are predictive of real economic activity and asset returns. In this paper, we study this relation by using CBOE VIX term structure data between January 1992 and August 2009. We find that certain combinations of the 3-, 6-, and 9-month forward variances (single forward variance factor) are predictive of stock market returns at 1-, 3-, and 6-month horizons. Forward variances constructed from seven out of nine sectors are also predictive of stock market returns and real economic activity. Out-of-sample analysis confirms the prediction power of the single forward variance factor.

Keywords：Stock returns; Forward variance; Predictability

原文链接： http://www.sciencedirect.com/science/article/pii/S1386418116301471

翻译：黄怡文