.png){kind=icon}
返回
The conditional expected market return
.png){kind=icon}
PRE
AI
DOI：10.1016/j.jfineco.2020.03.009.png)
.png){kind=icon}
原文求助.png){kind=icon}
分享.png){kind=icon}
收藏
摘要
En 中文
We derive lower and upper bounds on the conditional expected excess market return that are related to risk-neutral volatility, skewness, and kurtosis indexes. The bounds can be calculated in real time using a cross section of option prices. The bounds require a no-arbitrage assumption, but they do not depend on distributional assumptions about market returns or past observations. The bounds are highly volatile, positively skewed, and fat-tailed. They imply that the term structure of expected excess holding period returns is decreasing during turbulent times and increasing during normal times and that the expected excess market return is on average 5.2%. (C) 2020 Elsevier B.V. All rights reserved.
Keyword:
Equity risk premium
Risk-neutral moments
Preferences
AI总结
对已上传原文的论文进行重点信息的提取，主要内容包括：简要概述、研究摘要、背景介绍、关键亮点、图文解析、展望与总结。
期刊
IF:
12
论文数:
3.8K
被引数:
5.5W
机构
引用论文
Nonlinear pricing kernels, kurtosis preference, and evidence from the cross section of equity returns.png)
JOURNAL OF FINANCE
JOURNAL OF FINANCEIF9.5
PREAI
分享收藏分享收藏
查看更多内容