Bakshi, Gurdip
[VerfasserIn]
;
Crosby, John
[Sonstige Person, Familie und Körperschaft];
Gao Bakshi, Xiaohui
[Sonstige Person, Familie und Körperschaft];
Zhou, Wei
[Sonstige Person, Familie und Körperschaft]
A New Formula for the Expected Excess Return of the Market
Erschienen in:Fox School of Business Research Paper
Umfang:
1 Online-Ressource (54 p)
Sprache:
Englisch
DOI:
10.2139/ssrn.3464298
Identifikator:
Entstehung:
Anmerkungen:
Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments September 1, 2019 erstellt
Beschreibung:
Key to deriving the lower bound to the expected excess return of the market in Martin (2017) is the assumption of the negative correlation condition (NCC). We improve on the lower bound characterization by proposing an exact formula for the conditional expected excess return of the market. In our formula, each risk-neutral return central moment contributes to the expected excess return and is representable in terms of known option prices. To interpret theoretical and empirical distinctions between our formula and the lower bound, we develop and study the asset-pricing restrictions of the NCC