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Extracting Forward Equity Return Expectations Using Derivatives
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Outgoing claims: the papers this work cites, builds on, or argues with.
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The term structure of returns: Facts and theory
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Explaining the negative returns to volatility claims: An equilibrium approach
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Market intraday momentum
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Indexing and stock market serial dependence around the world
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The conditional expected market return
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The term structure of equity risk premia
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Functional generalizations of Hoeffding’s covariance lemma and a formula for Kendall’s tau
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Spanning and derivative-security valuation
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Recovery with Applications to Forecasting Equity Disaster Probability and Testing the Spanning Hypothesis in the Treasury Market
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Prices of State-Contingent Claims Implicit in Option Prices
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On the Autocorrelation of the Stock Market*
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What is the Expected Return on the Market?*
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Stock Market Prices Do Not Follow Random Walks: Evidence from a Simple Specification Test
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Stock Return Characteristics, Skew Laws, and the Differential Pricing of Individual Equity Options
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When Are Contrarian Profits Due to Stock Market Overreaction?
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Horizon-Dependent Risk Aversion and the Timing and Pricing of Uncertainty
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Statistical Arbitrage and Securities Prices
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The Variance Risk Premium in Equilibrium Models
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A disaster explanation of equity term structures
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Asymmetric Volatility Risk: Evidence from Option Markets
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The Economic Value of Volatility Timing
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Expectations Hypotheses Tests
inferredcites →https://doi.org/10.1111/j.1467-9965.2010.00473.xopenalex-snapshot
ROBUST BOUNDS FOR FORWARD START OPTIONS
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What Is the Expected Return on a Stock?
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Time Variation of the Equity Term Structure
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Reinvestment Risk and the Equity Term Structure
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Volatility, Valuation Ratios, and Bubbles: An Empirical Measure of Market Sentiment
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The Price of Higher Order Catastrophe Insurance: The Case of VIX Options
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Equity Term Structures without Dividend Strips Data
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On the Timing and Pricing of Dividends
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Generalized Bounds on the Conditional Expected Excess Return on Individual Stocks
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A Simple, Positive Semi-Definite, Heteroskedasticity and Autocorrelation Consistent Covariance Matrix
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Yield Spreads and Interest Rate Movements: A Bird's Eye View
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Risk Aversion and the Martingale Property of Stock Prices
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Computing Option Price Sensitivities Using Homogeneity and Other Tricks
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