The Term Structure of Equity Risk: An Empirical Analysis

CFA Digest ◽  
1997 ◽  
Vol 27 (1) ◽  
pp. 56-57
Author(s):  
H. Kent Baker
Keyword(s):  
Empirical Analysis ◽  
Term Structure ◽  
Equity Risk

scholarly journals On the Timing and Pricing of Dividends: Comment

2016 ◽  
Vol 106 (10) ◽  
pp. 3185-3223 ◽  
Author(s):  
Florian Schulz
Keyword(s):  
Term Structure ◽  
Risk Premium ◽  
Risk Premia ◽  
Equity Returns ◽  
Equity Risk Premium ◽  
Short Term ◽  
Equity Risk ◽  
Market Portfolio ◽  
Show Evidence

I present novel empirical evidence on the term structure of the equity risk premium. In contrast to previous research that documented high discount rates for the short-term component of the market portfolio, I show evidence for an unconditionally flat term structure of equity risk premia. The tension with previous literature arises largely as a result of differential treatments of heterogeneous investment taxes, manifested in micro evidence on abnormal equity returns on ex-dividend days, and liquidity. The results not only help resolve an important recent “puzzle” but provide further important insights on the role of investment taxes in asset pricing. (JEL G11, G12, G35)

Nonlinearities in the Relation Between the Equity Risk Premium and the Term Structure

1997 ◽  
Vol 43 (3) ◽  
pp. 371-385 ◽  
Author(s):  
Jacob Boudoukh ◽  
Matthew Richardson ◽  
Robert F. Whitelaw
Keyword(s):  
Term Structure ◽  
Risk Premium ◽  
Equity Risk Premium ◽  
Equity Risk

scholarly journals VIX Futures as a Market Timing Indicator

2019 ◽  
Vol 12 (3) ◽  
pp. 113 ◽  
Author(s):  
Fassas ◽  
Hourvouliades
Keyword(s):  
Empirical Analysis ◽  
Term Structure ◽  
Financial Market ◽  
Market Timing ◽  
Investor Sentiment ◽  
Vix Futures ◽  
Equity Price ◽  
The Empirical Analysis ◽  
Practical Implications ◽  
Stock Market Timing

Our work relates to the literature supporting that the VIX also mirrors investor sentiment and, thus, contains useful information regarding future S&P500 returns. The objective of this empirical analysis is to verify if the shape of the volatility futures term structure has signaling effects regarding future equity price movements, as several investors believe. Our findings generally support the hypothesis that the VIX term structure can be employed as a contrarian market timing indicator. The empirical analysis of this study has important practical implications for financial market practitioners, as it shows that they can use the VIX futures term structure not only as a proxy of market expectations on forward volatility, but also as a stock market timing tool.

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