TY - JOUR
T1 - Risk-neutral moments and return predictability
T2 - International evidence
AU - Zhang, Junyu
AU - Ruan, Xinfeng
AU - Zhang, Jin E.
N1 - Funding Information:
We are grateful to Derek W. Bunn (editor) and an anonymous referee for their helpful comments and suggestions. We also acknowledge helpful comments from Pakorn Aschakulporn, Jianhui Li, Hoa Luong, David Tripe (our NZFC discussant), Jungah Yoon, Qunzi Zhang (our ICFOD discussant), and seminar participants at the University of Otago, 10th International Conference on Futures and Other Derivatives (ICFOD 2021) in Nanning, 26th New Zealand Finance Colloquium (NZFC 2022) in Christchurch. Junyu Zhang appreciates being awarded the University of Otago Doctoral Scholarship. Jin E. Zhang has been supported by an establishment grant from the University of Otago. Open access publishing facilitated by University of Otago, as part of the Wiley - University of Otago agreement via the Council of Australian University Librarians.
Funding Information:
We are grateful to Derek W. Bunn (editor) and an anonymous referee for their helpful comments and suggestions. We also acknowledge helpful comments from Pakorn Aschakulporn, Jianhui Li, Hoa Luong, David Tripe (our NZFC discussant), Jungah Yoon, Qunzi Zhang (our ICFOD discussant), and seminar participants at the University of Otago, 10th International Conference on Futures and Other Derivatives (ICFOD 2021) in Nanning, 26th New Zealand Finance Colloquium (NZFC 2022) in Christchurch. Junyu Zhang appreciates being awarded the University of Otago Doctoral Scholarship. Jin E. Zhang has been supported by an establishment grant from the University of Otago. Open access publishing facilitated by University of Otago, as part of the Wiley ‐ University of Otago agreement via the Council of Australian University Librarians.
Publisher Copyright:
© 2022 The Authors. Journal of Forecasting published by John Wiley & Sons Ltd.
PY - 2023/8
Y1 - 2023/8
N2 - This paper documents risk-neutral moments of returns on 29 country-/region-specific ETFs to provide international uncertainty proxies for as many locations as possible. Our evidence shows these ETFs can generally reflect idiosyncratic information from international markets, but the predictive abilities of risk-neutral moments are heterogeneous among them. The evidence from panel prediction shows that the risk-neutral standard deviation ((Figure presented.)) can positively predict, but skewness ((Figure presented.)) and excess kurtosis ((Figure presented.)) negatively predict, the future excess returns in time-series analysis. Moreover, results from the post-ranking performance show that the ETFs with low (Figure presented.) on average earn an extra 4.55% annualized monthly excess return, compared with those with high (Figure presented.).
AB - This paper documents risk-neutral moments of returns on 29 country-/region-specific ETFs to provide international uncertainty proxies for as many locations as possible. Our evidence shows these ETFs can generally reflect idiosyncratic information from international markets, but the predictive abilities of risk-neutral moments are heterogeneous among them. The evidence from panel prediction shows that the risk-neutral standard deviation ((Figure presented.)) can positively predict, but skewness ((Figure presented.)) and excess kurtosis ((Figure presented.)) negatively predict, the future excess returns in time-series analysis. Moreover, results from the post-ranking performance show that the ETFs with low (Figure presented.) on average earn an extra 4.55% annualized monthly excess return, compared with those with high (Figure presented.).
KW - financial integration
KW - international return prediction
KW - risk-neutral moments
UR - http://www.scopus.com/inward/record.url?scp=85143228261&partnerID=8YFLogxK
U2 - 10.1002/for.2926
DO - 10.1002/for.2926
M3 - Article
AN - SCOPUS:85143228261
SN - 0277-6693
VL - 42
SP - 1086
EP - 1111
JO - Journal of Forecasting
JF - Journal of Forecasting
IS - 5
ER -