Realized variance can be broken down into continuous volatility and jumps. We show that these two components have very different predictive powers on future long-term excess stock market returns. While continuous volatility is a key driver of medium to long-term risk-return relationships, jumps do not predict future medium- to long-term excess returns. We use inference methods robust to persistent predictors in a multi-horizon setup. That is, we use a rescaled Student-t to test for significant risk-return links, give asymptotic arguments and simulate its exact behavior under the null in the case of multiple regressors with different degrees of persistence. Then, with Wald tests of equality of the risk-return relationship at multiple horizons, we find no evidence against a proportional relationship, constant across horizons, between long-term continuous volatility and future returns. Two by-products of our analysis are that imposing model-based constraints on long term regressions can improve their efficiency, and short-run estimates are sensitive to short-term variability of the predictors.

Voir le document

Dernières publications

2017s-08 CS
An experimental investigation of rating-market regulation
Claudia Keser, Asri Özgümüs, Emmanuel Peterlé et Martin Schmidt
Voir le document

2017s-07 CS
Statistical tests of the demand for insurance: an “all or nothing” decision
Anne Corcos, François Pannequin et Claude Montmarquette
Voir le document

2017RP-02 RP
Politiques favorables à l’innovation en santé
Nadia Benomar, Joanne Castonguay, Marie-Hélène Jobin et François Lespérance
Voir le document

2017RP-01 RP
Évaluation économique du service de premiers répondants sur le territoire de l’agglomération de Montréal
Nathalie de Marcellis-Warin, François Vaillancourt, Ingrid Peignier, Brigitte Bouchard-Milord et Alain Vaillancourt
(document non-disponible)

2017MO-02 MO
Perception des risques - Baromètre Cirano 2017
Nathalie de Marcellis-Warin et Ingrid Peignier
Voir le document


Centre interuniversitaire de recherche en analyse des organisations
1130 rue Sherbrooke Ouest, suite 1400
Montréal, Québec (Canada) H3A 2M8
(514) 985-4000
(514) 985-4039
reception@cirano.qc.ca

© 2017 CIRANO. Tous droits réservés.



Partenaire de :