pricing models reflect these risks. Averaging across the pool of investors we obtain a market asset pricing model that … investors, that many personally relevant risk considerations can be eliminated from the market asset pricing model. Examples … on asset pricing include a need to focus on identifying and explaining investor specific risk exposures. …

return series, and under the risk neutral measure from option prices. The difference between the two estimates motivates a so … with the size of the basket. Second, since the IC is implied from option prices it is not constant over maturities and …

returns. Risk adjustment is based on a nonparametric estimator of the state price density that does not use option prices and …

Positive option-implied risk-neutral skewness (RNS) predicts next-month abnormal underlying stock returns driven by …

This paper investigates international index return predictability using daily-updated option-implied information in …

We use a new method to estimate ex ante higher order moments of stock market returns from option prices. Even and odd …