| 简介： | We find a positive relationship between the individual stocks' asymmetric variance premia, defined as the difference between the risk-neutral and physical expected variance asymmetries, and the future stock returns. The high-minus-low hedge portfolio earns the excess return of 72 basis points per month, the characteristic-adjusted return of 66 basis points per month, and the industry-adjusted return of 79 basis points per month. They are all economically substantial and statistically highly significant. We show that asymmetric variance premium is closely related to skewness premium. Such a positive relationship can not be explained by risk-based asset pricing models. We find that the return predictability power of skewness premium is stronger among stocks that are hard to arbitrage, whose liquidity is low relative to liquidity of options written on them, and/or that face more serious information asymmetry. |