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The conditional expected market return

Citations

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Cited by:

  1. Andrei S. Gonçalves, 2021. "Reinvestment Risk and the Equity Term Structure," Journal of Finance, American Finance Association, vol. 76(5), pages 2153-2197, October.
  2. Grau-Vera, David & Rubio, Gonzalo, 2024. "Risk-adjusted performance of new economy indices and thematic sectors," Research in International Business and Finance, Elsevier, vol. 71(C).
  3. Tjeerd de Vries, 2021. "A Tale of Two Tails: A Model-free Approach to Estimating Disaster Risk Premia and Testing Asset Pricing Models," Papers 2105.08208, arXiv.org, revised Oct 2023.
  4. Angelo Aspris & Ester Félez‐Viñas & Sean Foley & Hamish Malloch & Jiri Svec, 2024. "The market risk premium in Australia: Forward‐looking evidence from the options market," Accounting and Finance, Accounting and Finance Association of Australia and New Zealand, vol. 64(4), pages 3951-3972, December.
  5. Ohad Kadan & Fang Liu & Xiaoxiao Tang, 2024. "Recovering Implied Volatility," Management Science, INFORMS, vol. 70(1), pages 255-282, January.
  6. Yamazaki, Akira, 2025. "Subjective probability distributions of nonlinear payoffs: Recovering option payoff, agent’s utility, and pricing kernel distributions," The North American Journal of Economics and Finance, Elsevier, vol. 76(C).
  7. Nawalkha, Sanjay K & Zhuo, Xiaoyang, 2020. "A Theory of Equivalent Expectation Measures for Expected Prices of Contingent Claims," OSF Preprints hsxtu, Center for Open Science.
  8. Wang, Yunqi & Zhou, Ti, 2023. "Out-of-sample equity premium prediction: The role of option-implied constraints," Journal of Empirical Finance, Elsevier, vol. 70(C), pages 199-226.
  9. Carvajal, Andrés & Zhou, Hang, 2024. "Idiosyncratic risk and the equity premium," Journal of Mathematical Economics, Elsevier, vol. 113(C).
  10. Akira Yamazaki, 2022. "Recovering subjective probability distributions," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 42(7), pages 1234-1263, July.
  11. Xinyang Li, 2025. "Tail risk and Flight-to-Safety," Journal of Asset Management, Palgrave Macmillan, vol. 26(4), pages 386-410, July.
  12. Aspris, Angelo & Malloch, Hamish & Svec, Jiri, 2024. "Option implied dividends and the market risk premium," International Review of Economics & Finance, Elsevier, vol. 96(PB).
  13. Wang, Zhan & Chow, K. Victor & Gu, Jiahao, 2025. "Implied equity premium and market beta," Finance Research Letters, Elsevier, vol. 78(C).
  14. Qiao, Kenan & Ji, Zhehan & Xie, Haibin, 2023. "Unrealized return dispersion and the equity risk premium," Finance Research Letters, Elsevier, vol. 58(PA).
  15. Andrei, Daniel & Hasler, Michael, 2025. "Investor learning about monetary-policy transmission and the stock market," Journal of Financial Economics, Elsevier, vol. 173(C).
  16. Fousseni Chabi-Yo & Chukwuma Dim & Grigory Vilkov, 2023. "Generalized Bounds on the Conditional Expected Excess Return on Individual Stocks," Management Science, INFORMS, vol. 69(2), pages 922-939, February.
  17. Serrano, Pedro & Vaello-Sebastià, Antoni & Vich-Llompart, M. Magdalena, 2024. "The international linkages of market risk perception," Journal of Multinational Financial Management, Elsevier, vol. 72(C).
  18. Yu, Junhong & Ruan, Xinfeng & Fan, Zheqi, 2025. "Merton (1976) implied jump," Journal of Economic Dynamics and Control, Elsevier, vol. 180(C).
  19. Ian W.R. Martin, 2025. "Information in Derivatives Markets: Forecasting Prices with Prices," Annual Review of Financial Economics, Annual Reviews, vol. 17(1), pages 295-319, November.
  20. Berkman, Henk & Malloch, Hamish, 2023. "Stock valuation during the COVID-19 pandemic: An explanation using option-based discount rates," Journal of Banking & Finance, Elsevier, vol. 147(C).
  21. Sanjay K. Nawalkha & Xiaoyang Zhuo, 2020. "A Theory of Equivalent Expectation Measures for Contingent Claim Returns," Papers 2006.15312, arXiv.org, revised May 2022.
  22. Yuan, Jun & Yang, Liuyong & Xu, Qi, 2025. "The real side of black swans: Tail risk and corporate investment," Journal of Banking & Finance, Elsevier, vol. 176(C).
  23. Grau-Vera, David & Rubio, Gonzalo & Sogorb-Mira, Francisco, 2025. "Time-varying risk aversion and capital Structure: An overlooked effect," International Review of Economics & Finance, Elsevier, vol. 102(C).
  24. Nieto, Belén & Rubio, Gonzalo, 2022. "The risk aversion and uncertainty channels between finance and macroeconomics," Finance Research Letters, Elsevier, vol. 45(C).
  25. Fousseni Chabi-Yo & Johnathan A. Loudis, 2024. "A Decomposition of Conditional Risk Premia and Implications for Representative Agent Models," Management Science, INFORMS, vol. 70(10), pages 6804-6834, October.
  26. Back, Kerry & Crotty, Kevin & Kazempour, Seyed Mohammad, 2022. "Validity, tightness, and forecasting power of risk premium bounds," Journal of Financial Economics, Elsevier, vol. 144(3), pages 732-760.
  27. Rubio, Gonzalo & Serrano, Pedro & Vaello-Sebastià, Antoni, 2023. "The international integration of the term structure of expected market risk premia," Finance Research Letters, Elsevier, vol. 58(PD).
  28. Wang, Shikun & Zhu, Shushang & Huang, Yi & Li, Zhongfei, 2024. "Estimation of expected return integrating real-time asset prices implied information and historical data," Journal of Economic Dynamics and Control, Elsevier, vol. 167(C).
  29. Altan Pazarbaşı & Paul Schneider & Grigory Vilkov, 2024. "Dispersion of Beliefs Bounds: Sentimental Recovery," Management Science, INFORMS, vol. 70(12), pages 8284-8300, December.
  30. Tjeerd De Vries, 2026. "Beyond Carr Madan: A Projection Approach to Risk-Neutral Moment Estimation," Papers 2601.14852, arXiv.org.
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