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Expected Stock Returns and Variance Risk Premia

Tim Bollerslev, George Tauchen, Hao Zhou

Review of Financial Studies, 2009. DOI 10.1093/rfs/hhp008

Has this study been replicated?

The atlas records 1 replication of this study. Recorded outcomes: 1 mixed. The earliest on record is from 2025.

Replications

• SCORE secondary data replication of Bollerslev et al. (2009), Parsons et al. (2025). Outcome recorded: mixed. "The coefficient… is (positive) 0.07455682, but its p-value is 0.54497." Outcome read from OSF report.

Cite this record

Bollerslev, T., Tauchen, G., & Zhou, H. (2009). Expected Stock Returns and Variance Risk Premia. Review of Financial Studies, 22(11), 4463–4492. https://doi.org/10.1093/rfs/hhp008

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