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Title: 探討牛熊市之市場狀態下波動度風險溢酬與預期報酬
Variance Risk Premium and Expected Returns in Bull and Bear Markets
Authors: 徐躍華
Hsu, Yueh-Hua
Contributors: 林士貴
Lin, Shih-Kuei
Hsu, Yueh-Hua
Keywords: 波動度風險溢酬
Variance risk premium
Return predictability
State dependence
High-frequency data
Date: 2022
Issue Date: 2022-02-10 12:54:51 (UTC+8)
Abstract: 在金融市場中最主要和關鍵的問題是如何預測市場的預期報酬,許多研究顯示預期報酬在很大程度上取決於經濟狀態。波動度風險溢籌已被證實對預期收益的可預測性,這是有個問題浮現在腦中,我們如何知道哪種市場狀態主導了波動度風險溢籌對預期報酬的預測能力?為了研究不同市場狀態下市場預期收益的可預測性差異,我們利用S&P500期貨的高頻數據,區分了20年來熊市或牛市市場狀態下波動度風險溢籌的可預測範圍。我們發現在不同的市場狀態下,市場的型態是截然不同的,它極大地影響了波動度風險溢籌對預期報酬的可預測性。在我們的實證結果中,熊市中的可預測回報時間長度要比牛市中的短。
The principal and critical issue in the financial market is how to predict the market’s expected return and many studies show expected returns depend strongly on the economic times. The variance risk premium has been proved its predictability of expected returns. However, a problem occurs, how do we know which market state dominates the predictability?
In order to investigate the difference in the predictability of expected market returns under different market states, we use high-frequency data of S&P500 futures to differentiate the forecast horizons of variance risk pre- mium in bullish and bearish for over two decades. We realize that mar- ket situations vary in different market states, which tremendously affects the predictability of variance premium. In our empirical investigation, the pre- dictable return horizons in bear markets are shorter than in bull markets.
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