A2020
Title: Stock market volatility and expected returns
Authors: Yawen Zheng - Durham University (United Kingdom) [presenting]
Sam Pybis - Manchester Metropolitan Universty (United Kingdom)
Abstract: An empirical evaluation of US industry portfolio predictability is provided using excess stock return volatility as a predictor. Out-of-sample, excess stock return volatility is a poor predictor of the equity risk premium, but a strong predictor of industry portfolios. An industry rotation portfolio highlights the usefulness of this strategy to investors who time the market.
