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Stock Return Extrapolation, Momentum, and Option Prices

https://doi.org/10.2139/ssrn.5136013
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Outgoing claims: the papers this work cites, builds on, or argues with.

inferredcites →https://doi.org/10.1007/s00521-019-04504-2openalex-snapshot
Stock closing price prediction based on sentiment analysis and LSTM
inferredcites →https://doi.org/10.1016/j.jebo.2015.11.010openalex-snapshot
Past returns and the perceived Sharpe ratio
inferredcites →https://doi.org/10.1016/j.jfineco.2014.08.007openalex-snapshot
X-CAPM: An extrapolative capital asset pricing model
inferredcites →https://doi.org/10.1016/j.jfineco.2018.04.007openalex-snapshot
Extrapolation and bubbles
inferredcites →https://doi.org/10.1016/j.jfineco.2021.10.009openalex-snapshot
Asset Pricing with Return Extrapolation
inferredcites →https://doi.org/10.1093/qje/qjaa009openalex-snapshot
Financial Market Risk Perceptions and the Macroeconomy*
inferredcites →https://doi.org/10.1093/restud/rdad023openalex-snapshot
A Macro-Finance Model with Sentiment
inferredcites →https://doi.org/10.1093/rfs/6.2.327openalex-snapshot
A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options
inferredcites →https://doi.org/10.1093/rfs/hhab051openalex-snapshot
Stock Return Extrapolation, Option Prices, and Variance Risk Premium
inferredcites →https://doi.org/10.1093/rfs/hht082openalex-snapshot
Expectations of Returns and Expected Returns
inferredcites →https://doi.org/10.1093/rfs/hhx139openalex-snapshot
Extrapolation Bias and the Predictability of Stock Returns by Price-Scaled Variables
inferredcites →https://doi.org/10.1108/mf-08-2016-0232openalex-snapshot
Information sources and investing decisions – a path modeling approach
inferredcites →https://doi.org/10.1111/jofi.12901openalex-snapshot
Cash Flow News and Stock Price Dynamics
inferredcites →https://doi.org/10.1146/annurev-financial-110217-022725openalex-snapshot
Measuring Investor Sentiment
inferredcites →https://doi.org/10.1287/mnsc.2013.1806openalex-snapshot
From the Horse's Mouth: Economic Conditions and Investor Expectations of Risk and Return
inferredcites →https://doi.org/10.2307/1914185openalex-snapshot
Prospect Theory: An Analysis of Decision under Risk
inferredcites →https://doi.org/10.3386/w26290openalex-snapshot
Financial Market Risk Perceptions and the Macroeconomy
inferredcites →https://doi.org/10.3905/jpm.2007.698034openalex-snapshot
Stock Return Momentum and Reversal
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