TAILIEUCHUNG - EXPECTED STOCK RETURNS AND VARIANCE RISK PREMIA

The regulatory function of stock exchanges was in the past mostly limited to issuing rules and clarifying aspects of existing frameworks. The standard-setting role of stock exchanges was essentially exercised through the issuance of listing, ongoing disclosure, maintenance and de-listing requirements. On the enforcement side, stock exchanges have shared their regulatory function with capital market supervisory agencies. In addition to overseeing their own rules, stock exchanges were assigned the role of monitoring the compliance with legislation and subsidiary securities regulation. Since the promulgation of the OECD Principles of Corporate Governance, stock exchanges have often enlarged. | Finance and Economics Discussion Series Divisions of Research Statistics and Monetary Affairs Federal Reserve Board Washington . Expected Stock Returns and Variance Risk Premia Tim Bollerslev and Hao Zhou 2007-11 NOTE Staff working papers in the Finance and Economics Discussion Series FEDS are preliminary materials circulated to stimulate discussion and critical comment. The analysis and conclusions set forth are those of the authors and do not indicate concurrence by other members of the research staff or the Board of Governors. References in publications to the Finance and Economics Discussion Series other than acknowledgement should be cleared with the author s to protect the tentative character of these papers. Expected Stock Returns and Variance Risk Premia Tim Bollerslev and Hao Zhou First Draft September 2006 This Version December 2006 Abstract We find that the difference between implied and realized variances or the variance risk premium is able to explain more than fifteen percent of the ex-post time series variation in quarterly excess returns on the market portfolio over the 1990 to 2005 sample period with high low premia predicting high low future returns. The magnitude of the return predictability of the variance risk premium easily dominates that afforded by standard predictor variables like the P E ratio the dividend yield the default spread and the consumption-wealth ratio CAY . Moreover combining the variance risk premium with the P E ratio results in an R2 for the quarterly returns of more than twenty-five percent. The results depend crucially on the use of model-free as opposed to standard Black-Scholes implied variances and realized variances constructed from high-frequency intraday as opposed to daily data. Our findings suggest that temporal variation in risk and risk-aversion both play an important role in determining stock market returns. JEL Classification Numbers G12 G14. Keywords Return Predictability Implied Variance Realized Variance

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