“The information content of forward moments”, with A. Kagkadis, D. Philip and A. Taamouti, Journal of Banking & Finance, July 2019.
56 Pages · Posted: 6 Mar 2017 · Last revised: 4 Aug 2019 | We estimate the term structures of risk-neutral forward variance and skewness, and examine their predictive power for equity market excess returns and variance. We use Partial Least Squares to extract a single predictive factor from each term structure that is motivated by the theoretical implications of affine no-arbitrage models.