We show that the highly volatile variance risk premium (VRP) can be theoretically and empirically reconciled with investor sentiment captured by temporary variation in risk aversion. In an effort to understand the poor predictive power of the VRP in non-U.S. markets, we propose a new investor sentiment index, the Variance Sentiment Index(VSI), obtained from the trading behavior of individual investors. We show that the VSI predicts local return dynamics, in a similar way to what the VRP does in the U.S. market. Moreover, the VSI does not lose its predictive power even in the presence of the global VRP.

中文翻译：

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方差风险溢价的变化及其预测能力：来自期权市场情绪的证据

我们表明，高度波动的方差风险溢价（VRP）可以在理论上和经验上与风险规避的暂时变化所捕获的投资者情绪相协调。为了了解 VRP 在非美国市场的预测能力较差，我们提出了一种新的投资者情绪指数，即方差情绪指数（VSI），该指数取自个人投资者的交易行为。我们展示了 VSI 预测本地回报动态的方式与 VRP 在美国市场所做的类似。此外，即使在全球 VRP 存在的情况下，VSI 也不会失去其预测能力。