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• W3123616918 abstract "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%." @default.
• W3123616918 created "2021-02-01" @default.
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• W3123616918 date "2020-09-01" @default.
• W3123616918 modified "2023-10-03" @default.
• W3123616918 title "The conditional expected market return" @default.
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• W3123616918 doi "https://doi.org/10.1016/j.jfineco.2020.03.009" @default.
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