I investigate the possibility of estimating expected return on a stock from a linear equation with known coefficients using only risk-neutral variance of return and reach a negative conclusion. The formula is not viable because: (i) its coefficients are indeterminate (unknown) and are not...

In imperfect capital markets, an entrepreneur has to invest substantial personal funds to start a private firm and is forced to bear large firm-specific risk. Furthermore, if the entrepreneur is risk averse, one would expect the private equity to earn a premium for idiosyncratic risk. In this...

We use the 2008 crisis as an exogenous shock to the annual pension funding ratios of U.S. corporate defined benefit (DB) pension plans to examine the causal impact on the assumption of expected return on pension assets (EROA). Contrary to prior literature, we find that DB pension plans...

We use the 2008 crisis as an exogenous shock to the pension funding status of U.S. corporate defined benefit (DB) pension plans to examine the causal impact on the assumption of the expected return on pension assets (ER). Contrary to prior literature, we find that DB pension plans transitioning...