.png){kind=icon}
Return
The conditional expected market return
.png){kind=icon}
PRE
AI
DOI：10.1016/j.jfineco.2020.03.009.png)
.png){kind=icon}
Original request for help.png){kind=icon}
Share.png){kind=icon}
Save
Abstract
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.
Keywords:
Equity risk premium
Risk-neutral moments
Preferences
AI Summary
Key information extracted from the uploaded paper, including a brief overview, abstract, background, key highlights, visual analysis, and future outlook.
Journal
IF:
12
Papers:
3.8K
Citations:
5.5W
Organization
Cited Papers
ShareSave
ShareSaveNonlinear pricing kernels, kurtosis preference, and evidence from the cross section of equity returns.png)
JOURNAL OF FINANCE
JOURNAL OF FINANCEIF9.5
PREAI
ShareSaveShareSaveShareSave
ShareSave
View more