The conditional expected market return

• 成果类型: Article
• 署名作者: Chabi-Yo, Fousseni; Loudis, Johnathan
• 署名单位: University of Massachusetts System; University of Massachusetts Amherst; University of Notre Dame
• 刊物名称: JOURNAL OF FINANCIAL ECONOMICS
• ISSN/ISSBN: 0304-405X
• DOI: 10.1016/j.jfineco.2020.03.009
• 发表日期: 2020
• 关键词: EQUITY RISK PREMIUM; Risk-neutral moments; preferences

摘要

We derive lower and upper bounds on the conditional expected excess market return that are related to risk-neutral volatility, skewness, and kurtosis indexes. The bounds can be calculated in real time using a cross section of option prices. The bounds require a no-arbitrage assumption, but they do not depend on distributional assumptions about market returns or past observations. The bounds are highly volatile, positively skewed, and fat-tailed. They imply that the term structure of expected excess holding period returns is decreasing during turbulent times and increasing during normal times and that the expected excess market return is on average 5.2%. (C) 2020 Elsevier B.V. All rights reserved.