A copy of this work was available on the public web and has been preserved in the Wayback Machine. The capture dates from 2016; you can also visit the original URL.
The file type is
This paper investigates the variance risk premium in an international setting. First, I provide new evidence on the basic stylized facts traditionally documented for the US. I show that while the variance premiums in several other countries are, on average, positive and display signi...cant time variation, they do not predict local equity returns. Then, I extend the domestic model in Bollerslev, Tauchen and Zhou (2009) to an international setting. In light of the qualitative implications of mydoi:10.2139/ssrn.2517020 fatcat:ujr6zzun7zcmzcl5wtubjafwiq