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What is the Expected Return on a Stock?. (2016). Wagner, Christian ; Martin, Ian.
In: CEPR Discussion Papers.
RePEc:cpr:ceprdp:11608.

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Cited: 28

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Cites: 40

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Cocites: 50

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  1. The cash-secured put-write strategy and the variance risk premium. (2024). Chadwick, Savannah ; Raquel, Andrew ; Patel, Pratish.
    In: Journal of Asset Management.
    RePEc:pal:assmgt:v:25:y:2024:i:1:d:10.1057_s41260-023-00333-0.

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  2. Explaining the Failure of the Unconditional CAPM with the Conditional CAPM. (2023). Martineau, Charles ; Hasler, Michael.
    In: Management Science.
    RePEc:inm:ormnsc:v:69:y:2023:i:3:p:1835-1855.

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  3. Volatility Expectations and Returns. (2022). Muir, Tyler ; Lochstoer, Lars A.
    In: Journal of Finance.
    RePEc:bla:jfinan:v:77:y:2022:i:2:p:1055-1096.

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  4. Volatility, valuation ratios, and bubbles: An empirical measure of market sentiment. (2021). Martin, Ian ; Gao, Can.
    In: SAFE Working Paper Series.
    RePEc:zbw:safewp:312.

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  5. The FOMC risk shift. (2021). Schmeling, Maik ; Kroencke, Tim-Alexander ; Schrimpf, Andreas.
    In: SAFE Working Paper Series.
    RePEc:zbw:safewp:302.

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  6. The impact of heterogeneous unconventional monetary policies on the expectations of market crashes. (2021). Alonso Alvarez, Irma ; Vaello-Sebastia, Antoni ; Serrano, Pedro.
    In: Working Papers.
    RePEc:bde:wpaper:2127.

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  7. The Effect of Reporting Streaks on Ex Ante Uncertainty. (2020). Riedl, Edward J ; Papadakis, George ; Neururer, Thaddeus .
    In: Management Science.
    RePEc:inm:ormnsc:v:66:y:2020:i:8:p:3771-3787.

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  8. Disaster Resilience and Asset Prices. (2020). Pagano, Marco ; Zechner, Josef ; Wagner, Christian.
    In: Papers.
    RePEc:arx:papers:2005.08929.

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  9. Long-Term Discount Rates Do Not Vary Across Firms. (2019). Keloharju, Matti ; Nyberg, Peter ; Linnainmaa, Juhani T.
    In: NBER Working Papers.
    RePEc:nbr:nberwo:25579.

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  10. Pricing Poseidon: Extreme Weather Uncertainty and Firm Return Dynamics. (2019). Watugala, Sumudu W ; Tran, Brigitte Roth ; Kruttli, Mathias S.
    In: Finance and Economics Discussion Series.
    RePEc:fip:fedgfe:2019-54.

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  11. Notes on the yield curve. (2019). Martin, Ian ; Ross, Steve.
    In: LSE Research Online Documents on Economics.
    RePEc:ehl:lserod:90208.

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  12. The quanto theory of exchange rates. (2019). Martin, Ian ; Kremens, Lukas.
    In: LSE Research Online Documents on Economics.
    RePEc:ehl:lserod:89839.

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  13. Variance risk in aggregate stock returns and time-varying return predictability. (2019). Pyun, Sungjune.
    In: Journal of Financial Economics.
    RePEc:eee:jfinec:v:132:y:2019:i:1:p:150-174.

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  14. The FOMC Risk Shift. (2019). Schrimpf, Andreas ; Kroencke, Tim ; Schmeling, Maik.
    In: CEPR Discussion Papers.
    RePEc:cpr:ceprdp:14037.

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  15. Sentiment and Speculation in a Market with Heterogeneous Beliefs. (2019). Martin, Ian ; Papadimitriou, Dimitris.
    In: CEPR Discussion Papers.
    RePEc:cpr:ceprdp:13857.

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  16. The Contribution of Frictions to Expected Returns. (2018). Skiadopoulos, George ; Hiraki, Kazuhiro.
    In: Working Papers.
    RePEc:qmw:qmwecw:874.

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  17. Options and the Gamma Knife. (2018). Martin, Ian.
    In: LSE Research Online Documents on Economics.
    RePEc:ehl:lserod:88077.

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  18. Stock return expectations in the credit market. (2018). Byström, Hans ; Bystrom, Hans.
    In: International Review of Financial Analysis.
    RePEc:eee:finana:v:56:y:2018:i:c:p:85-92.

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  19. Notes on the Yield Curve. (2018). Martin, Ian ; Ross, Stephen .
    In: CEPR Discussion Papers.
    RePEc:cpr:ceprdp:13176.

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  20. Options and the Gamma Knife. (2018). Martin, Ian.
    In: CEPR Discussion Papers.
    RePEc:cpr:ceprdp:12883.

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  21. The Lost Capital Asset Pricing Model. (2018). Andrei, Daniel ; Wilson, Mungo ; Cujean, Julien.
    In: CEPR Discussion Papers.
    RePEc:cpr:ceprdp:12607.

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  22. Labor Rigidity and the Dynamics of the Value Premium. (2017). Marfè, Roberto ; Marfe, Roberto.
    In: 2017 Meeting Papers.
    RePEc:red:sed017:466.

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  23. What Is the Expected Return on a Stock?. (2017). Martin, Ian ; Wagner, Christian.
    In: 2017 Meeting Papers.
    RePEc:red:sed017:146.

    Full description at Econpapers || Download paper

  24. The Quanto Theory of Exchange Rates. (2017). Martin, Ian ; Kremens, Lukas .
    In: CEPR Discussion Papers.
    RePEc:cpr:ceprdp:11970.

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  25. Stock Return Expectations in the Credit Market. (2016). Byström, Hans ; Bystrom, Hans.
    In: Working Papers.
    RePEc:hhs:lunewp:2016_026.

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  26. What is the expected return on a stock?. (2016). Martin, Ian ; Wagner, Christian.
    In: LSE Research Online Documents on Economics.
    RePEc:ehl:lserod:118957.

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References

References cited by this document

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  24. i wXS i,t = 1. The parameter θ controls the aggressiveness of the strategy; we set θ = 1. For the model forecast-based portfolios, we report annualized average excess returns along with their associated standard deviations and Sharpe ratios as well as their skewness and excess kurtosis. For the benchmark portfolios we additionally report the performance fee (following Fleming et al., 2001) that a risk-averse investor with relative risk aversion ρ ∈ {1, 3, 10} would be willing to pay to switch from the benchmark strategy to the model portfolio. The column labels indicate the variance horizon used in the model forecast.
    Paper not yet in RePEc: Add citation now
  25. i wXS i,t = 1. The parameter θ controls the aggressiveness of the strategy; we set θ = 1. For the model forecast-based portfolios, we report annualized average excess returns along with their associated standard deviations and Sharpe ratios as well as their skewness and excess kurtosis. For the benchmark portfolios we additionally report the performance fee (following Fleming et al., 2001) that a risk-averse investor with relative risk aversion ρ ∈ {1, 3, 10} would be willing to pay to switch from the benchmark strategy to the model portfolio. The column labels indicate the variance horizon used in the model forecast.
    Paper not yet in RePEc: Add citation now

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  37. Return in excess of the market Slope: 0.58, R−squ: 90% Figure 11: Cross-sectional variation in expected returns This Figure plots the time-series of the cross-sectional standard deviation of one-year expected excess returns generated by our model and by benchmark predictions. The benchmark predictions are CAPM forecasts using conditional betas (estimated from historical returns) and an estimate of the equity premium. We consider four proxies for the latter: the risk-neutral variance of the market (SVIX2 t ), the historical average excess returns of the S&P 500 (S&P500t) and of the CRSP value-weighted index (CRSPt), and a constant prediction of 6% p.a. The time-series averages of the cross-sectional standard deviations of expected returns are reported in the plot legends, together with time-series standard deviations in parentheses. The data is monthly and covers S&P 500 stocks from January 1996 to October 2014.
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  40. SVIX t 2 0.1 0.2 0.3 0.4 0.5 0.6 0.7 0.8 Jan/96 Jan/99 Jan/02 Jan/05 Jan/08 Jan/11 Jan/14 Figure 6: Beta, size, value, momentum, and option-implied equity variance This Figure reports (equally-weighted) averages of risk-neutral stock variance (SVIX2 i,t, computed from individual firm equity options) of S&P 500 stocks, conditional on firm beta, size, book-to-market, and momentum. At every date t, we assign stocks to decile portfolios based on on their characteristics and report the time-series averages of SVIX2 i,t across deciles using SVIX2 i,t-horizons of one year (Panels A to D). The sample period is January 1996 to October 2014.
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  39. Slow diffusion of information and price momentum in stocks: Evidence from options markets. (2017). Chen, Zhuo ; Lu, Andrea .
    In: Journal of Banking & Finance.
    RePEc:eee:jbfina:v:75:y:2017:i:c:p:98-108.

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  40. Financial option insurance. (2017). Shu, Jian-Jun ; Wang, Qi-Wen .
    In: Papers.
    RePEc:arx:papers:1708.02180.

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  41. Stock Illiquidity, option prices, and option returns. (2016). Kanne, Stefan ; Uhrig-Homburg, Marliese ; Korn, Olaf .
    In: CFR Working Papers.
    RePEc:zbw:cfrwps:1608.

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  42. Pricing of Catastrophe Risk and the Implied Volatility Smile. (2016). Ben Ammar, Semir.
    In: Working Papers on Finance.
    RePEc:usg:sfwpfi:2016:17.

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  43. The incremental information content of innovations in implied idiosyncratic volatility. (2016). Moll, Cliff R ; Huffman, Stephen P.
    In: Review of Financial Economics.
    RePEc:eee:revfin:v:30:y:2016:i:c:p:33-44.

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  44. Is there information leakage prior to share repurchase announcements? Evidence from daily options trading. (2016). Hao, Qing .
    In: Journal of Financial Markets.
    RePEc:eee:finmar:v:27:y:2016:i:c:p:79-101.

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  45. The role of information uncertainty in moving-average technical analysis: A study of individual stock-option issuance in Taiwan. (2016). Chen, Chien-Hua ; Lin, Jun-Biao ; Su, Xuan-Qi.
    In: Finance Research Letters.
    RePEc:eee:finlet:v:18:y:2016:i:c:p:263-272.

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  46. What is the Expected Return on a Stock?. (2016). Wagner, Christian ; Martin, Ian.
    In: CEPR Discussion Papers.
    RePEc:cpr:ceprdp:11608.

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  47. Market risk of BRIC Eurobonds in the financial crisis period. (2015). VORTELINOS, DIMITRIOS ; Lakshmi, Geeta .
    In: International Review of Economics & Finance.
    RePEc:eee:reveco:v:39:y:2015:i:c:p:295-310.

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  48. Trading breaks and asymmetric information: The option markets. (2015). Kaplanski, Guy ; Levy, Haim.
    In: Journal of Banking & Finance.
    RePEc:eee:jbfina:v:58:y:2015:i:c:p:390-404.

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  49. The relationship between the option-implied volatility smile, stock returns and heterogeneous beliefs. (2015). Feng, Shu ; Friesen, Geoffrey C ; Zhang, YI.
    In: International Review of Financial Analysis.
    RePEc:eee:finana:v:41:y:2015:i:c:p:62-73.

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  50. Macroeconomic uncertainty and the cross-section of option returns. (2014). Aramonte, Sirio.
    In: Journal of Financial Markets.
    RePEc:eee:finmar:v:21:y:2014:i:c:p:25-49.

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