We construct a new lottery measure (ALM) to evaluate the lottery preference feature of stocks. The new measure is different from the common used lottery proxies: maximum daily return (MAX) and skewness (SKEW). In the U.S. stock market, the relationship between the ALM and expected returns is...

Periodic returns are widely used to estimate expected return when testing the CAPM. We show that in the original one-period CAPM, the linear relationship between beta and the expected periodic return is obtained only by adjusting the expected continuously compounded return, and the linearity is...

Inspired by Aumann and Serrano (2008) and Foster and Hart (2009), we propose risk-neutral options' implied measures of riskiness and investigate their significance in predicting the cross section of expected returns per unit of risk. The empirical analyses indicate a negative and significant...