Improving the predictability of real economic activity and asset returns with forward variances inferred from option portfolios

被引：47
作者：
Bakshi, Gurdip [1 ]
Panayotov, George [2 ]
Skoulakis, Georgios [1 ]
机构：
[1] Univ Maryland, Smith Sch Business, College Pk, MD 20742 USA
[2] Georgetown Univ, McDonough Sch Business, Washington, DC 20057 USA
来源：
JOURNAL OF FINANCIAL ECONOMICS | 2011年 / 100卷 / 03期
关键词：
Predictability; Traded market variance; Real economic activity; Treasury returns; Stock market returns; Joint predictability; EXPECTED STOCK RETURNS; TERM STRUCTURE; EXPECTATIONS HYPOTHESIS; DIVIDEND YIELDS; UNIT-ROOT; RISK; VOLATILITY; INFORMATION; REGRESSIONS; FORECASTS;
D O I：
10.1016/j.jfineco.2011.01.002
中图分类号：
F8 [财政、金融];
学科分类号：
0202 ;
摘要：
This paper presents an option positioning that allows us to infer forward variances from option portfolios. The forward variances we construct from equity index options help to predict (i) growth in measures of real economic activity, (ii) Treasury bill returns, (iii) stock market returns, and (iv) changes in variance swap rates. Our yardstick for measuring predictive ability is both individual and joint parameter statistical significance within a market, as well as across a set of markets. (C) 2011 Elsevier B.V. All rights reserved.
引用
收藏
页码：475 / 495
页数：21
相关论文
共 87 条
[61]   Predicting returns with financial ratios [J].
Lewellen, J .
JOURNAL OF FINANCIAL ECONOMICS, 2004, 74 (02) :209-235
[62]   UNDERSTANDING BUSINESS CYCLES [J].
LUCAS, RE .
CARNEGIE-ROCHESTER CONFERENCE SERIES ON PUBLIC POLICY, 1977, 5 :7-29
[63]   Macro Factors in Bond Risk Premia [J].
Ludvigson, Sydney C. ;
Ng, Serena .
REVIEW OF FINANCIAL STUDIES, 2009, 22 (12) :5027-5067
[64]   Bootstrap methods in econometrics [J].
MacKinnon, James G. .
ECONOMIC RECORD, 2006, 82 :S2-S18
[65]  
MARK NC, 1995, AM ECON REV, V85, P201
[66]  
Meddahi N., 2003, The Econometrics Journal, V6, P334
[67]   OPTION PRICING WHEN UNDERLYING STOCK RETURNS ARE DISCONTINUOUS [J].
MERTON, RC .
JOURNAL OF FINANCIAL ECONOMICS, 1976, 3 (1-2) :125-144
[68]   Option markets and implied volatility: Past versus present [J].
Mixon, Scott .
JOURNAL OF FINANCIAL ECONOMICS, 2009, 94 (02) :171-191
[69]   STATIONARITY AND PERSISTENCE IN THE GARCH(1,1) MODEL [J].
NELSON, DB .
ECONOMETRIC THEORY, 1990, 6 (03) :318-334
[70]   A SIMPLE, POSITIVE SEMIDEFINITE, HETEROSKEDASTICITY AND AUTOCORRELATION CONSISTENT COVARIANCE-MATRIX [J].
NEWEY, WK ;
WEST, KD .
ECONOMETRICA, 1987, 55 (03) :703-708
123456789