Equity Market and Treasuries Variance Risk Premiums as Return Predictors
February 8, 2017 - Bonds, Equity Premium, Volatility Effects
Do bonds, like equity markets, offer a variance risk premium (VRP)? If so, does the bond VRP predict bond returns? In their January 2017 paper entitled “Variance Risk Premia on Stocks and Bonds”, Philippe Mueller, Petar Sabtchevsky, Andrea Vedolin and Paul Whelan examine and compare the equity VRP (EVRP) via the S&P 500 Index and U.S. Treasuries VRP (TVRP)… Keep Reading