Generalized Bounds on the Conditional Expected Excess Return on Individual Stocks
从期权价格推导出条件期望超额收益的广义边界，该下界可作为个股和篮子资产的预期超额收益代理，优于现有方差模型，并揭示FOMC周期对预期收益的影响。
We derive generalized bounds on conditional expected excess returns that can be computed from option prices. The generalized lower bound may serve as an expected excess return proxy for individual and basket-type assets, is conditionally tight, accounts for the entire risk-neutral distribution of returns, and outperforms existing variance-based models in out-of-sample predictions. Bounds calibrated to realized returns correspond to reasonable risk aversion and prudence. On average, expected stock returns given by the bounds decrease on even weeks of the Federal Open Market Committee cycle. Cross-sectional tests deliver a reasonable market risk premium. This paper was accepted by Haoxiang Zhu, finance. Supplemental Material: The data files and online appendix are available at https://doi.org/10.1287/mnsc.2022.4367 .