| 来源类型 | Discussion paper |
| 规范类型 | 论文 |
| 来源ID | DP11608 |
| DP11608 What is the Expected Return on a Stock? | |
| Ian Martin | |
| 发表日期 | 2016-11-04 |
| 出版年 | 2016 |
| 语种 | 英语 |
| 摘要 | We derive a formula that expresses the expected return on a stock in terms of the risk-neutral variance of the market and the stock's excess risk-neutral variance relative to the average stock. These components can be computed from index and stock option prices; the formula has no free parameters. We test the theory in-sample by running panel regressions of stock returns onto risk-neutral variances. The formula performs well at 6-month and 1-year forecasting horizons, and our predictors drive out beta, size, book-to-market, and momentum. Out-of-sample, we find that the formula outperforms a range of competitors in forecasting individual stock returns. Our results suggest that there is considerably more variation in expected returns, both over time and across stocks, than has previously been acknowledged. |
| 主题 | Financial Economics |
| 关键词 | Expected returns Forecast Risk premia Implied volatility Risk-neutral variance |
| URL | https://cepr.org/publications/dp11608 |
| 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/540422 |
| 推荐引用方式 GB/T 7714 | Ian Martin. DP11608 What is the Expected Return on a Stock?. 2016. |
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