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Generalized Recovery

Publikation: Forskning - peer reviewPaper

We characterize when physical probabilities, marginal utilities, and the discount rate can be recovered from observed state prices for several future time periods. Our characterization makes no assumptions of the probability distribution, thus generalizing the time-homogeneous stationary model of Ross (2015). Our characterization is simple and intuitive, linking recovery to the relation
between the number of time periods on the number of states. When recovery is feasible, our model is easy to implement, allowing a closed-form linearized solution. We implement our model empirically, testing the predictive power of the recovered expected return, crash risk, and other recovered statistics.

Publikationsoplysninger

OriginalsprogEngelsk
Publikationsdato2017
Antal sider58
StatusUdgivet - 2017
BegivenhedThe 77th Annual Meeting of American Finance Association. AFA 2017 - Sheraton Grand Chicago, Chicago, USA
Varighed: 6 jan. 20178 jan. 2017
Konferencens nummer: 77
http://www.afajof.org/details/page/8672741/Paper-Submission-2017.html

Konference

KonferenceThe 77th Annual Meeting of American Finance Association. AFA 2017
Nummer77
LokationSheraton Grand Chicago
LandUSA
ByChicago
Periode06/01/201708/01/2017
Internetadresse

ID: 55334567