@TechReport{dp-619,
  author   = {Prokopczuk, Marcel and Tharann, Björn and Wese Simen, Chardin},
  astring  = {Marcel Prokopczuk and Björn Tharann and Chardin Wese Simen},
  title    = {Predicting the Equity Market with Option Implied Variables},
  month    = {November},
  year     = {2017},
  pages    = {55},
  size     = {492},
  number   = {619},
  language = {en},
  keywords = {Equity Premium; Option Implied Information; Portfolio Choice; Predictability; Timing Strategies},
  jelclass = {G10, G11, G17},
  abstract = {We comprehensively analyze the predictive power of several option implied variables for monthly S & P 500 excess returns and realized variance. The correlation risk premium (CRP) emerges as a strong predictor of both excess returns and realized variance. This is true both in- and out-of-sample. A timing strategy based on the CRP leads to utility gains of more than 4.63% per annum. In contrast, the variance risk premium (VRP), which strongly predicts excess returns, does not lead to economic gains.}
}