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Demand-based Expected Returns

https://doi.org/10.2139/ssrn.5337870
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Outgoing claims: the papers this work cites, builds on, or argues with.

inferredcites →https://doi.org/10.1016/0304-405x(90)90012-oopenalex-snapshot
The numeraire portfolio
inferredcites →https://doi.org/10.1016/j.jfineco.2018.12.003openalex-snapshot
Generalized Recovery
inferredcites →https://doi.org/10.1016/j.jfineco.2020.03.009openalex-snapshot
The conditional expected market return
inferredcites →https://doi.org/10.1016/j.jfineco.2022.02.003openalex-snapshot
Validity, tightness, and forecasting power of risk premium bounds
inferredcites →https://doi.org/10.1073/pnas.2019910117openalex-snapshot
Robust identification of investor beliefs
inferredcites →https://doi.org/10.1080/713665549openalex-snapshot
Optimal positioning in derivative securities
inferredcites →https://doi.org/10.1086/296025openalex-snapshot
Prices of State-Contingent Claims Implicit in Option Prices
inferredcites →https://doi.org/10.1086/701683openalex-snapshot
A Demand System Approach to Asset Pricing
inferredcites →https://doi.org/10.1093/qje/qjt023openalex-snapshot
Managerial Miscalibration*
inferredcites →https://doi.org/10.1093/qje/qjw034openalex-snapshot
What is the Expected Return on the Market?*
inferredcites →https://doi.org/10.1093/rfs/hhae008openalex-snapshot
Equity Return Expectations and Portfolios: Evidence from Large Asset Managers
inferredcites →https://doi.org/10.1093/rfs/hhag044openalex-snapshot
What Drives Variation in Investor Portfolios? Estimating the Roles of Beliefs and Risk Preferences
inferredcites →https://doi.org/10.1093/rfs/hhp005openalex-snapshot
Demand-Based Option Pricing
inferredcites →https://doi.org/10.1093/rfs/hhp091openalex-snapshot
Heterogeneous Expectations and Bond Markets
inferredcites →https://doi.org/10.1093/rfs/hht082openalex-snapshot
Expectations of Returns and Expected Returns
inferredcites →https://doi.org/10.1093/rfs/hhy004openalex-snapshot
Demand for Crash Insurance, Intermediary Constraints, and Risk Premia in Financial Markets
inferredcites →https://doi.org/10.1093/rof/rfw061openalex-snapshot
What Drives Index Options Exposures?
inferredcites →https://doi.org/10.1111/j.1540-6261.1997.tb02749.xopenalex-snapshot
Empirical Performance of Alternative Option Pricing Models
inferredcites →https://doi.org/10.1111/jofi.12092openalex-snapshot
The Recovery Theorem
inferredcites →https://doi.org/10.1111/jofi.12095openalex-snapshot
When Uncertainty Blows in the Orchard: Comovement and Equilibrium Volatility Risk Premia
inferredcites →https://doi.org/10.1111/jofi.12404openalex-snapshot
Misspecified Recovery
inferredcites →https://doi.org/10.1111/jofi.12737openalex-snapshot
(Almost) Model‐Free Recovery
inferredcites →https://doi.org/10.1111/jofi.13068openalex-snapshot
Volatility, Valuation Ratios, and Bubbles: An Empirical Measure of Market Sentiment
inferredcites →https://doi.org/10.1111/jofi.13179openalex-snapshot
Belief Disagreement and Portfolio Choice
inferredcites →https://doi.org/10.1111/mafi.12060openalex-snapshot
A MODEL‐FREE VERSION OF THE FUNDAMENTAL THEOREM OF ASSET PRICING AND THE SUPER‐REPLICATION THEOREM
inferredcites →https://doi.org/10.1257/aer.20200243openalex-snapshot
Five Facts about Beliefs and Portfolios
inferredcites →https://doi.org/10.1287/mnsc.2022.01587openalex-snapshot
Dispersion of Beliefs Bounds: Sentimental Recovery
inferredcites →https://doi.org/10.2139/ssrn.3400005openalex-snapshot
Identifying Beliefs from Asset Prices
inferredcites →https://doi.org/10.2139/ssrn.3856753openalex-snapshot
Asymmetries and the Market for Put Options
inferredcites →https://doi.org/10.2139/ssrn.4029090openalex-snapshot
Beliefs and Portfolios: Causal Evidence
inferredcites →https://doi.org/10.2139/ssrn.4087948openalex-snapshot
Dynamics of Subjective Risk Premia
inferredcites →https://doi.org/10.2139/ssrn.4276760openalex-snapshot
Subjective Risk and Return
inferredcites →https://doi.org/10.2139/ssrn.4277979openalex-snapshot
Investor Beliefs and Trading Frictions
inferredcites →https://doi.org/10.2139/ssrn.4314173openalex-snapshot
Demand in the Option Market and the Pricing Kernel
inferredcites →https://doi.org/10.2139/ssrn.4373579openalex-snapshot
The Implied Equity Premium
inferredcites →https://doi.org/10.2139/ssrn.4458499openalex-snapshot
The Subjective Risk and Return Expectations of Institutional Investors
inferredcites →https://doi.org/10.2139/ssrn.4692190openalex-snapshot
0DTEs: Trading, Gamma Risk and Volatility Propagation
inferredcites →https://doi.org/10.2307/1886087openalex-snapshot
Options and Efficiency
inferredcites →https://doi.org/10.2307/2330448openalex-snapshot
The Fantastic World of Finance: Progress and the Free Lunch
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