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A discrete time option model dependent on expected return : a note

O'Brien, Thomas J. - In: The journal of finance : the journal of the American … 41 (1986) 2, pp. 515-520

Persistent link: https://www.econbiz.de/10001015096

Analyst Price Target Expected Returns and Option Implied Risk

Bali, Turan G. - 2015

Motivated by the nature of asset pricing models, we investigate the cross-sectional relation between the market's ex-ante view of a stock's risk and the stock's ex-ante expected return. We demonstrate that an ex-ante measure of expected returns based on analyst price targets is highly related to...

Persistent link: https://www.econbiz.de/10013032028

Equivalent expectation measures for risk and return analysis of contingent claims

Nawalkha, Sanjay K.; Zhuo, Xiaoyang - In: Journal of investment management : JOIM 22 (2024) 3, pp. 23-36

Persistent link: https://www.econbiz.de/10015198702

Real options and the cross-section of expected stock returns

Guthrie, Graeme A. - In: Journal of economic surveys 28 (2014) 2, pp. 265-283

Persistent link: https://www.econbiz.de/10011293024

Extracting expected stock risk premia from option prices and the information contained in non-parametric-out-of-sample stochastic discount factors

González-Urteaga, Ana; Nieto Domenech, Belen; Rubio, … - In: Quantitative finance 21 (2021) 5, pp. 713-727

Persistent link: https://www.econbiz.de/10012500183

Extracting expected stock risk premia from option prices and the information contained in non-parametric-out-of-sample stochastic discount factors

González-Urteaga, Ana; Nieto Domenech, Belen; Rubio, … - In: Quantitative finance 21 (2021) 5, pp. 713-727

Persistent link: https://www.econbiz.de/10012500184

Generalized bounds on the conditional expected excess return on individual stocks

Chabi-Yo, Fousseni; Dim, Chukwuma Chijioke; Vilkov, Grigory - In: Management science : journal of the Institute for … 69 (2023) 2, pp. 922-939

Persistent link: https://www.econbiz.de/10014295173

A dynamical systems model of capital asset pricing

Plath, Donald A. - In: The Mid-Atlantic journal of business 28 (1992) 1, pp. 55-74

Persistent link: https://www.econbiz.de/10001123501

Neuronale Netze als Hilfsmittel zur Rendite- und Risikoschätzung von Aktien

Wittkemper, Hans-Georg - 1994

Persistent link: https://www.econbiz.de/10013428639

An international dynamic asset pricing model

Hodrick, Robert J.; Ng, David Tat-chee; Sengmueller, Paul - In: International tax and public finance 6 (1999) 4, pp. 597-620

Persistent link: https://www.econbiz.de/10001498560