{"status":"ok","message-type":"work","message-version":"1.0.0","message":{"indexed":{"date-parts":[[2026,10,27]],"date-time":"2026-10-27T14:39:02Z","timestamp":1793111942286,"version":"4.5.0"},"posted":{"date-parts":[[2026]]},"group-title":"SSRN","reference-count":78,"publisher":"Elsevier BV","license":[{"start":{"date-parts":[[2026,1,1]],"date-time":"2026-01-01T00:00:00Z","timestamp":1767225600000},"content-version":"unspecified","delay-in-days":0,"URL":"https:\/\/www.uspto.gov\/ip-policy\/copyright-policy\/copyright-basics"}],"content-domain":{"domain":[],"crossmark-restriction":false},"short-container-title":[],"abstract":"<jats:p>We test whether the variance risk premium (VRP), squared VIX minus trailing realized variance, predicts U.S. stock market returns one day ahead, using 6,704 recursive out-of-sample forecasts from 2000 to 2026. Raw VRP forecasts are less accurate than the historical mean. Truncating negative forecasts at zero gives an out-of-sample R^2 of 0.24% (Clark--West p = 0.010), but this gain does not survive a superior-predictive-ability test (p = 0.10), disappears when implied variance is lagged by one day, and owes all of its advantage over raw forecasts to the COVID episode. Against a benchmark that already scales exposure by inverse variance, no VRP strategy produces a significant certainty-equivalent gain, including under next-open execution. The long-only difference is -17 bp per year (95% interval -3.1 to +2.8 percentage points), and a few crash-and-rebound days at the leverage cap decide its sign. Simulations that keep the sample&amp;apos;s volatility path show that even a true daily R^2 of 0.10-0.20% would yield a negative expected out-of-sample R^2 and an expected gain of only 0.4-1.5 percentage points per year, well below what the tests can detect. The data rule out large gains but cannot distinguish a modest gain from a modest loss.<\/jats:p>","DOI":"10.2139\/ssrn.7675063","type":"posted-content","created":{"date-parts":[[2026,10,27]],"date-time":"2026-10-27T14:23:41Z","timestamp":1793111021000},"source":"Crossref","is-referenced-by-count":0,"title":["Does the Variance Risk Premium Time the Market Day by Day?"],"prefix":"10.2139","author":[{"ORCID":"https:\/\/orcid.org\/0000-0002-0820-9998","authenticated-orcid":true,"given":"King Wai","family":"Kwok","sequence":"first","affiliation":[],"role":[{"vocabulary":"crossref","role":"author"}]}],"member":"78","reference":[{"key":"ref1","first-page":"1989","article-title":"CRSP daily stock file, CIZ format (crsp.dsf_v2): SPDR S&P 500 ETF (PERMNO 84398), 1993-2025, and U.S. common stocks (share codes","volume":"10","year":"1990","journal-title":"Wharton Research Data Services, 13 October 2026. 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