Variance premia in developed and emerging equity markets

The variance premia of developed markets (as proxied by MSCI EAFE Index), emerging markets (as proxied by MSCI Emerging Markets Index) and the US market (as proxied by S&P500 index). We define the Variance Risk Premium (VRP) as the difference between the ex-post realized return variation and the ex-ante risk-neutral expectation of the future return variation, as proxied by the respective implied volatility index.

发达市场（以明晟全球指数（MSCI EAFE Index）作为代理指标）、新兴市场（以明晟新兴市场指数（MSCI Emerging Markets Index）作为代理指标）以及美国市场（以标准普尔500指数（S&P500 index）作为代理指标）的方差溢价。我们定义方差风险溢价（Variance Risk Premium，简称VRP）为事后实际回报变异性与事前风险中性对未来回报变异性的预期之间的差异，该差异以相应的隐含波动率指数作为代理指标。