What Is the Expected Return on a Stock?
推导出一个公式，用市场风险中性方差和个股相对于平均股票的超额风险中性方差来计算股票预期收益率，该公式可从期权价格中计算且无自由参数，实证表现良好。
ABSTRACT We derive a formula for 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 that of the average stock. These quantities can be computed from index and stock option prices; the formula has no free parameters. The theory performs well empirically both in and out of sample. Our results suggest that there is considerably more variation in expected returns, over time and across stocks, than has previously been acknowledged.