Bollerslev, Tim; Zhou, Hao - 2007
realized variances, or the vari-
ance risk premium, is able to explain more than fifteen percent of the ex-post time
series … predicting high (low) future returns. The
magnitude of the return predictability of the variance risk premium easily dominates … consumption-wealth ratio (CAY). Moreover, combining the
variance risk premium with the P/E ratio results in an R2 for the …