| dc.contributor | 金融系 | - |
| dc.creator (作者) | 張興華; 匡顯吉; 林士貴 | - |
| dc.creator (作者) | Chang, Alan;Kuang, Xian-Ji;Lin, Shih-Kuei;Hsu, Yueh-Hua | - |
| dc.date (日期) | 2023-02 | - |
| dc.date.accessioned | 30-Nov-2023 14:58:35 (UTC+8) | - |
| dc.date.available | 30-Nov-2023 14:58:35 (UTC+8) | - |
| dc.date.issued (上傳時間) | 30-Nov-2023 14:58:35 (UTC+8) | - |
| dc.identifier.uri (URI) | https://nccur.lib.nccu.edu.tw/handle/140.119/148381 | - |
| dc.description.abstract (摘要) | The variance risk premium is a critical predictor of expected returns. However, numerous studies indicate that expected returns depend strongly on the state of the economy. Herein, we examine the effect of the variance risk premium in different market states by using cross – sectional regression and predictability of returns. Our empirical results show that the variance risk premium is a significantly priced factor in bull markets. Additionally, predicted return horizons are shorter in bear markets than in bull markets. Compared with that in bull markets, the predictive ability of the variance risk premium diminishes more rapidly in bear markets when the horizon period is lengthened. | - |
| dc.format.extent | 109 bytes | - |
| dc.format.mimetype | text/html | - |
| dc.relation (關聯) | Applied Economics Letters, Vol.31, No.13, pp.1227-1233 | - |
| dc.subject (關鍵詞) | Variance risk premium; cross-section regression; return predictability; state dependence; high-frequency data | - |
| dc.title (題名) | Does variance risk premium predict expected returns? | - |
| dc.type (資料類型) | article | - |
| dc.identifier.doi (DOI) | 10.1080/13504851.2023.2178620 | - |
| dc.doi.uri (DOI) | https://doi.org/10.1080/13504851.2023.2178620 | - |
