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Butterfly Implied Returns

https://doi.org/10.2139/ssrn.4854521
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Outgoing claims: the papers this work cites, builds on, or argues with.

inferredcites →https://doi.org/10.1016/0304-405x(93)90023-5openalex-extracted
Common risk factors in the returns on stocks and bonds
inferredcites →https://doi.org/10.1016/j.jfineco.2004.08.008openalex-extracted
Short sales, institutional investors and the cross-section of stock returns
inferredcites →https://doi.org/10.1016/j.jfineco.2009.09.001openalex-extracted
A skeptical appraisal of asset pricing tests☆
inferredcites →https://doi.org/10.1016/j.jfineco.2009.11.004openalex-extracted
O/S: The relative trading activity in options and stock
inferredcites →https://doi.org/10.1016/j.jfineco.2012.07.001openalex-extracted
Multifactor models and their consistency with the ICAPM
inferredcites →https://doi.org/10.1016/j.jfineco.2012.07.002openalex-extracted
Market skewness risk and the cross section of stock returns
inferredcites →https://doi.org/10.1016/j.jfineco.2014.08.007openalex-extracted
X-CAPM: An extrapolative capital asset pricing model
inferredcites →https://doi.org/10.1016/j.jfineco.2014.10.010openalex-extracted
A five-factor asset pricing model
inferredcites →https://doi.org/10.1016/j.jfineco.2015.02.004openalex-extracted
Deflating profitability
inferredcites →https://doi.org/10.1016/j.jfineco.2015.12.002openalex-extracted
Momentum crashes
inferredcites →https://doi.org/10.1016/j.jfineco.2018.09.006openalex-extracted
Bear beta
inferredcites →https://doi.org/10.1016/j.jfineco.2018.12.003openalex-extracted
Generalized Recovery
inferredcites →https://doi.org/10.1016/j.jfineco.2020.03.006openalex-extracted
Does the Ross recovery theorem work empirically?
inferredcites →https://doi.org/10.1016/j.jmoneco.2015.08.006openalex-extracted
Asset Pricing in Production Economies with Extrapolative Expectations
inferredcites →https://doi.org/10.1016/j.jmoneco.2017.05.006openalex-extracted
The cross-section and time series of stock and bond returns
inferredcites →https://doi.org/10.1016/j.jmoneco.2019.04.014openalex-extracted
Asymmetric inflation expectations, downward rigidity of wages, and asymmetric business cycles
inferredcites →https://doi.org/10.1017/s0022109000003227openalex-extracted
Predictive Regressions: A Reduced-Bias Estimation Method
inferredcites →https://doi.org/10.1017/s002210901000013xopenalex-extracted
Deviations from Put-Call Parity and Stock Return Predictability
inferredcites →https://doi.org/10.1017/s0022109010000220openalex-extracted
What Does the Individual Option Volatility Smirk Tell Us About Future Equity Returns?
inferredcites →https://doi.org/10.1017/s0022109014000295openalex-extracted
Trading in the Options Market around Financial Analysts’ Consensus Revisions
inferredcites →https://doi.org/10.1086/260061openalex-extracted
Risk, Return, and Equilibrium: Empirical Tests
inferredcites →https://doi.org/10.1086/260910openalex-extracted
Forward Exchange Rates as Optimal Predictors of Future Spot Rates: An Econometric Analysis
inferredcites →https://doi.org/10.1086/296025openalex-extracted
Prices of State-Contingent Claims Implicit in Option Prices
inferredcites →https://doi.org/10.1086/701683openalex-extracted
A Demand System Approach to Asset Pricing
inferredcites →https://doi.org/10.1093/qje/qjs001openalex-extracted
Variable Rare Disasters: An Exactly Solved Framework for Ten Puzzles in Macro-Finance *
inferredcites →https://doi.org/10.1093/qje/qjw034openalex-extracted
What is the Expected Return on the Market?*
inferredcites →https://doi.org/10.1093/rfs/16.1.0101openalex-extracted
Stock Return Characteristics, Skew Laws, and the Differential Pricing of Individual Equity Options
inferredcites →https://doi.org/10.1093/rfs/hhab086openalex-extracted
Asset Pricing with Fading Memory
inferredcites →https://doi.org/10.1093/rfs/hhj035openalex-extracted
Downside Risk
inferredcites →https://doi.org/10.1093/rfs/hhm074openalex-extracted
Reconciling the Return Predictability Evidence
inferredcites →https://doi.org/10.1093/rfs/hht082openalex-extracted
Expectations of Returns and Expected Returns
inferredcites →https://doi.org/10.1093/rfs/hhu039openalex-extracted
Tail Risk and Asset Prices
inferredcites →https://doi.org/10.1093/rfs/hhv059openalex-extracted
Editor's Choice … and the Cross-Section of Expected Returns
inferredcites →https://doi.org/10.1093/rfs/hhw107openalex-extracted
Mispricing Factors
inferredcites →https://doi.org/10.1093/rfs/hhx139openalex-extracted
Extrapolation Bias and the Predictability of Stock Returns by Price-Scaled Variables
inferredcites →https://doi.org/10.1093/rfs/hhz075openalex-extracted
A Bound on Expected Stock Returns
inferredcites →https://doi.org/10.1093/rof/rfaa004openalex-extracted
An Augmented q -Factor Model with Expected Growth
inferredcites →https://doi.org/10.1093/rof/rfx010openalex-extracted
Macro-Finance
inferredcites →https://doi.org/10.1111/j.1475-679x.2012.00439.xopenalex-extracted
Option Prices Leading Equity Prices: Do Option Traders Have an Information Advantage?
inferredcites →https://doi.org/10.1111/j.1540-6261.2004.00690.xopenalex-extracted
Hedge Funds and the Technology Bubble
inferredcites →https://doi.org/10.1111/j.1540-6261.2006.00836.xopenalex-extracted
The Cross‐Section of Volatility and Expected Returns
inferredcites →https://doi.org/10.1111/j.1540-6261.2011.01695.xopenalex-extracted
Tails, Fears, and Risk Premia
inferredcites →https://doi.org/10.1111/jofi.12092openalex-extracted
The Recovery Theorem
inferredcites →https://doi.org/10.1111/jofi.12181openalex-extracted
The Joint Cross Section of Stocks and Options
inferredcites →https://doi.org/10.1111/jofi.12220openalex-extracted
Aggregate Jump and Volatility Risk in the Cross‐Section of Stock Returns
inferredcites →https://doi.org/10.1111/jofi.12737openalex-extracted
(Almost) Model‐Free Recovery
inferredcites →https://doi.org/10.1111/jofi.12778openalex-extracted
What Is the Expected Return on a Stock?
inferredcites →https://doi.org/10.1287/mnsc.1090.1063openalex-extracted
Volatility Spreads and Expected Stock Returns
inferredcites →https://doi.org/10.1287/mnsc.2015.2379openalex-extracted
What Does Risk-Neutral Skewness Tell Us About Future Stock Returns?
inferredcites →https://doi.org/10.1287/mnsc.2018.3122openalex-extracted
Informed Options Trading Prior to Takeover Announcements: Insider Trading?
inferredcites →https://doi.org/10.1287/mnsc.2019.3398openalex-extracted
Why Do Option Prices Predict Stock Returns? The Role of Price Pressure in the Stock Market
inferredcites →https://doi.org/10.1561/104.00000112openalex-extracted
Open Source Cross-Sectional Asset Pricing
inferredcites →https://doi.org/10.21144/wp19-14openalex-extracted
Survey Data and Subjective Beliefs in Business Cycle Models
inferredcites →https://doi.org/10.2307/1913610openalex-extracted
A Simple, Positive Semi-Definite, Heteroskedasticity and Autocorrelation Consistent Covariance Matrix
inferredcites →https://doi.org/10.2307/1913811openalex-extracted
An Intertemporal Capital Asset Pricing Model
inferredcites →https://doi.org/10.2469/faj.v31.n4.36openalex-extracted
Fact and Fantasy in the Use of Options
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