Séminaires de recherche

Expected Stock Returns and the Correlation Risk Premium

Finance

Intervenant : Grigory Vilkov
Frankfurt School of Finance & Management

14 septembre 2017 - T017 - De 14h00 à 15h15

Télécharger

In a general equilibrium model with stochastic variance and correlation, we decompose the equity risk premium into compensations for variance, correlation and consumption risks. Based on this decomposition, we develop and test a new methodology for out-of-sample forecasts of the market excess return. Estimating contemporaneous variance and correlation betas from the joint dynamics of option-implied variables and index returns, we find significant out-of-sample R2’s of 10.4% and 7.0% for 3- and 12-months forecast horizons, respectively. While the predictability
of the variance risk premium is strongest at the intermediate (quarterly) horizon, the correlation risk premium dominates at longer horizons. In line with a risk-based explanation for the existence of a correlation risk premium, we document that expected correlation predicts future diversification risks.

Finance

Intervenant : Matthieu Bouvard
Desautels Faculty of Management

14 juin 2018 - De 14h00 à 15h15


Finance

Intervenant : Mikhail Simutin
Rotman School of Management

7 juin 2018 - De 14h00 à 15h15


Finance

Intervenant : Liyan Yang
Rotman School of Management

31 mai 2018 - De 14h00 à 15h15


Finance

Intervenant : Anton Lines
Columbia Business School

24 mai 2018 - De 14h00 à 15h15


Finance

Intervenant : Ian Martin
LSE

17 mai 2018 - De 14h00 à 15h15



JavaScriptSettings