A Bound on Expected Stock Returns
提出一个充分条件，利用股票期权价格计算其预期收益率的下界，该下界具有前瞻性且可高频计算，实证发现其与贝塔和账面市值比正相关，与规模和动量负相关，为未来股票收益率提供经济上有意义的信号。
Abstract We present a sufficient condition under which the prices of options written on a particular stock can be aggregated to calculate a lower bound on the expected returns of that stock. The sufficient condition imposes a restriction on a combination of the stock’s systematic and idiosyncratic risk. The lower bound is forward-looking and can be calculated on a high-frequency basis. We estimate the bound empirically and study its cross-sectional properties. We find that the bound increases with beta and book-to-market ratio and decreases with size and momentum. The bound provides an economically meaningful signal about future stock returns. Authors have furnished an Internet Appendix, which is available on the Oxford University Press Web site next to the link to the final published paper online.