Long-run regression models using the trailing earnings over price ratio to predict future returns suggested by Campbell and Shiller (1988, 2001) work quite well. However, in this note, we show that this variable might result in a downward biased proxy for expected future returns. Instead, we...

We show that the conclusions to be drawn concerning the informational efficiency of illiquid options depend critically on whether one is careful to recognize and appropriately deal with the econometrics of the errors-in-variables problem. This paper examines the information content of options on...