| 来源类型 | Discussion paper |
| 规范类型 | 论文 |
| 来源ID | DP10715 |
| DP10715 What is the Expected Return on the Market? | |
| Ian Martin | |
| 发表日期 | 2015-07-19 |
| 出版年 | 2015 |
| 语种 | 英语 |
| 摘要 | This paper presents a new lower bound on the equity premium in terms of a volatility index, SVIX, that can be calculated from index option prices. This bound, which relies only on very weak assumptions, implies that the equity premium is extremely volatile, and that it rose above 20% at the height of the crisis in 2008. More aggressively, I argue that the lower bound---whose time-series average is about 5%---is approximately tight and that the high equity premia available at times of stress largely reflect high expected returns over the very short run. Under a stronger assumption, I show how to use option prices to measure the probability that the market goes up (or down) over some given horizon, and to compute the expected excess return on the market conditional on the market going up (or down). |
| 主题 | Financial Economics ; Monetary Economics and Fluctuations |
| 关键词 | Equity premium Expected return Index options Predictive regression Return forecasting Svix Vix |
| URL | https://cepr.org/publications/dp10715 |
| 来源智库 | Centre for Economic Policy Research (United Kingdom) |
| 资源类型 | 智库出版物 |
| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/539546 |
| 推荐引用方式 GB/T 7714 | Ian Martin. DP10715 What is the Expected Return on the Market?. 2015. |
| 条目包含的文件 | 条目无相关文件。 | |||||
| 个性服务 |
| 推荐该条目 |
| 保存到收藏夹 |
| 导出为Endnote文件 |
| 谷歌学术 |
| 谷歌学术中相似的文章 |
| [Ian Martin]的文章 |
| 百度学术 |
| 百度学术中相似的文章 |
| [Ian Martin]的文章 |
| 必应学术 |
| 必应学术中相似的文章 |
| [Ian Martin]的文章 |
| 相关权益政策 |
| 暂无数据 |
| 收藏/分享 |
除非特别说明，本系统中所有内容都受版权保护，并保留所有权利。
