| 来源类型 | Discussion paper |
| 规范类型 | 论文 |
| 来源ID | DP12760 |
| DP12760 Expected Correlation and Future Market Returns | |
| Adrian Buss; Grigory Vilkov | |
| 发表日期 | 2018-12-19 |
| 出版年 | 2018 |
| 语种 | 英语 |
| 摘要 | We document that information about the comovement of individual stocks, jointly extracted from index options and individual stock options, can be used to predict future market excess returns for horizons of up to 1 year, both in-sample and out-of-sample. The predictive power is incremental to that of risk measures exclusively based on the marginal distribution of the market, including (semi)variances and their risk premiums.~We attribute this predictability to the ability of expected correlation to capture expected variations in idiosyncratic risk and in the cross-sectional dispersion in systematic risk. A novel extension of the contemporaneous-beta approach significantly improves out-of-sample predictability. |
| 主题 | Financial Economics |
| 关键词 | Expected (implied) correlation Correlation risk premium Return predictability Idiosyncratic risk Option-implied information Contemporaneous betas |
| URL | https://cepr.org/publications/dp12760-0 |
| 来源智库 | Centre for Economic Policy Research (United Kingdom) |
| 资源类型 | 智库出版物 |
| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/542213 |
| 推荐引用方式 GB/T 7714 | Adrian Buss,Grigory Vilkov. DP12760 Expected Correlation and Future Market Returns. 2018. |
| 条目包含的文件 | 条目无相关文件。 | |||||
| 个性服务 |
| 推荐该条目 |
| 保存到收藏夹 |
| 导出为Endnote文件 |
| 谷歌学术 |
| 谷歌学术中相似的文章 |
| [Adrian Buss]的文章 |
| [Grigory Vilkov]的文章 |
| 百度学术 |
| 百度学术中相似的文章 |
| [Adrian Buss]的文章 |
| [Grigory Vilkov]的文章 |
| 必应学术 |
| 必应学术中相似的文章 |
| [Adrian Buss]的文章 |
| [Grigory Vilkov]的文章 |
| 相关权益政策 |
| 暂无数据 |
| 收藏/分享 |
除非特别说明，本系统中所有内容都受版权保护，并保留所有权利。
