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Applied Economics Letters Volume 22, 2015 - Issue 17
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Original Articles

The role of variance risk premium in predicting excess stock market return: out-of-sample evidences

Jian ChenFujian Key Laboratory of Statistical Sciences & Department of Finance, School of Economics, Xiamen University, Xiamen361005, ChinaView further author information
,
Liya ShenEssex Business School, University of Essex, ColchesterCO4 3SQ, UKCorrespondence[email protected]
View further author information
,
Xiaoke WangDepartment of Accounting, School of Management, Xiamen University, Xiamen361005, ChinaView further author information
&
Haomiao ZuoChina Life Asset Management Company Ltd., Beijing100033, ChinaView further author information
Pages 1382-1388 | Published online: 20 Apr 2015

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Athanasios P. Fassas. (2023) Investors’ risk aversion and government policy responses to the COVID-19 pandemic. Applied Economics Letters 0:0, pages 1-6.
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Jian Chen, Chen He & Jing Zhang. (2017) Time-Varying Variance Risk Premium and the Predictability of Chinese Stock Market Return. Emerging Markets Finance and Trade 53:8, pages 1734-1748.
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