Using option prices, a new method for estimating the term structure of expected stock returns (equity curve) is proposed. We analyse how the equity curve relates to future stock returns and obtain three main results. First, a higher level of the equity curve is associated with higher future...

Asset price processes are completely described by information processes and investors' preferences. In this paper we derive the relationship between the process of investors ́expectations of the terminal stock price and asset prices in a general continous time pricing kernel framework. To...

Asset price processes are completely described by information processes and investors´ preferences. In this paper we derive the relationship between the process of investors´ expectations of the terminal stock price and asset prices in a general continous time pricing kernel framework. To...

We investigate the movements of the yield curve after the release of major U.S. macroeconomic announcements through the lenses of an arbitrage-free dynamic term structure model with macroeconomic fundamentals. Combining estimated yield responses obtained using high-frequency data with model...

We investigate the movements of the yield curve after the release of major U.S. macroeconomic announcements through the lenses of an arbitrage-free dynamic term structure model with macroeconomic fundamentals. Combining estimated yield responses obtained using high-frequency data with model...

1 Abstract -- 2 Introduction -- 3 Chapter I: Literature on the subject of excess volatility -- 4 Chapter II: Excess volatility beyond discount rates -- 5 Chapter III: Evidence of excess volatility in the Eurozone market -- 6 Conclusions.