Please use this identifier to cite or link to this item: https://hdl.handle.net/20.500.14279/18581
Title: The information content of forward moments
Authors: Andreou, Panayiotis 
Kagkadis, Anastasios 
Philip, Dennis 
Taamouti, Abderrahim 
Major Field of Science: Social Sciences
Field Category: Economics and Business
Keywords: Equity premium;Forward moments;Implied volatility surface;Partial least squares;Predictability of stock returns;Variance premium
Issue Date: Sep-2019
Source: Journal of Banking & Finance, 2019, vol. 106, pp. 527-541
Volume: 106
Start page: 527
End page: 541
Journal: Journal of Banking & Finance 
Abstract: We estimate the term structures of risk-neutral forward variance and skewness, and examine their predictive power for equity market excess returns and variance. We use Partial Least Squares to extract a single predictive factor from each term structure that is motivated by the theoretical implications of affine no-arbitrage models. The empirical analysis shows that an increased forward variance factor, FVF (forward skewness factor, FSF) corresponds to a more negatively sloped forward variance (more U-shaped forward skewness) term structure, and significantly forecasts higher future market excess returns and variance. More importantly, FSF exhibits predictive power for market returns that is stronger than, and incremental to, that provided by FVF. However, it does not outperform FVF in terms of excess variance predictability.
URI: https://hdl.handle.net/20.500.14279/18581
ISSN: 03784266
DOI: 10.1016/j.jbankfin.2019.07.021
Rights: © Elsevier
Type: Article
Affiliation : Cyprus University of Technology 
Durham University Business School 
Lancaster University 
Appears in Collections:Άρθρα/Articles

CORE Recommender
Show full item record

SCOPUSTM   
Citations

2
checked on Mar 14, 2024

WEB OF SCIENCETM
Citations

2
Last Week
0
Last month
0
checked on Oct 29, 2023

Page view(s)

253
Last Week
3
Last month
3
checked on Jun 14, 2024

Google ScholarTM

Check

Altmetric


This item is licensed under a Creative Commons License Creative Commons