153: Xiao Qiao – Research Analyst Shares Practical Ways to do Better Research
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The Role of Variance Risk Premium in Return Predictors
The paper is published in the Journal of Profiler Management, and it's also available for free download on social sciences, research network or SSR. It includes more traditional return predictors such as price ratios but also some newer variables that have shown up in the literature more recently. The variance risk premium was found to be a very strong return predictor at around the three month horizon.
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