https://scholars.lib.ntu.edu.tw/handle/123456789/414892
標題: | The information content of the implied volatility term structure on future returns | 作者: | Wang Y.-H. Yen K.-C. |
關鍵字: | predictability;S&P 500 index returns;VIX term structure | 公開日期: | 2019 | 卷: | 25 | 期: | 2 | 起(迄)頁: | 380-406 | 來源出版物: | European Financial Management | 摘要: | We derive the theoretical relation between the term structure of implied variance and the expected excess returns of the underlying asset. Adopting three alternative approaches to compile the variables representing the information on the implied volatility index level and term structure, we show the important role of the term structure in determining future excess returns of the S&P 500 index. Both the in-sample and out-of-sample analyses suggest that the information content of the term structure variable is significant and a strong complement to that of the level variable, especially for shorter-term excess returns. ? 2017 John Wiley & Sons, Ltd. |
URI: | https://scholars.lib.ntu.edu.tw/handle/123456789/414892 | ISSN: | 13547798 | DOI: | 10.1111/eufm.12166 |
顯示於: | 財務金融學系 |
在 IR 系統中的文件,除了特別指名其著作權條款之外,均受到著作權保護,並且保留所有的權利。