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CATEGORIES:Finance &amp\; Accounting Seminar Series
SUMMARY:A Bound on Expected Stock Returns - Professor Ohad
  Kadan\, Professor of Finance and Chair of the Fin
 ance Area at Washington University's Olin Business
  School
DTSTART;TZID=Europe/London:20151124T103000
DTEND;TZID=Europe/London:20151124T120000
UID:TALK62663AThttp://talks.cam.ac.uk
URL:http://talks.cam.ac.uk/talk/index/62663
DESCRIPTION:We present a sufficient condition under which the 
 prices of options with different strike prices wri
 tten on a particular stock can be used to calculat
 e a lower bound on the expected returns of that st
 ock. The sufficient condition imposes a \nrestrict
 ion on a combination of the stock’s systematic and
  idiosyncratic risk. The lower bound is forward-lo
 oking and can be calculated on a high-frequency ba
 sis for stocks with liquid option trading. We esti
 mate the lower bound empirically\nfor constituents
  of the S&P 500 index and study its cross-sectiona
 l properties. We find that the bound increases wit
 h beta and decreases with size. The bound also pro
 vides an economically meaningful signal on future 
 realized stock returns.
LOCATION:Cambidge Judge Business School\,  W2.01
CONTACT:Crystal
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