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- W2069673121 abstract "In a large asset market where the equilibrium APT holds and stock options are priced by the Black-Scholes model, the expected return of the stock must equal the risk-free rate. This conclusion is due to the fact that a zero-beta stock-option hedge will not have a risk-free rate of return unless the expected return of the stock equals the risk-free rate. If one accepts the equilibrium APT and the Black-Scholes option pricing model as good approximations, the result provides a plausible explanation for some recent anomalous empirical findings." @default.
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- W2069673121 date "1992-01-01" @default.
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- W2069673121 title "Some implications of traded options on the pricing of the underlying stock" @default.
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- W2069673121 doi "https://doi.org/10.1016/1059-0560(92)90002-t" @default.
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