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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
Publikationsdato2016
Antal sider41
StatusUdgivet - 2016
Begivenhed2016 Annual Meeting of the Society for Economic Dynamics - Toulouse, Frankrig

Konference

Konference2016 Annual Meeting of the Society for Economic Dynamics
LandFrankrig
ByToulouse
Periode30/06/201602/07/2016
Internetadresse

ID: 44883428