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SUMMARY:A Bound on Expected Stock Returns - Professor Ohad Kadan\, Profess
 or of Finance and Chair of the Finance Area at Washington University's Oli
 n Business School
DTSTART:20151124T103000Z
DTEND:20151124T120000Z
UID:TALK62663@talks.cam.ac.uk
CONTACT:Crystal
DESCRIPTION:We present a sufficient condition under which the prices of op
 tions with different strike prices written on a particular stock can be us
 ed to calculate a lower bound on the expected returns of that stock. The s
 ufficient condition imposes a \nrestriction on a combination of the stock
 ’s systematic and idiosyncratic risk. The lower bound is forward-looking
  and can be calculated on a high-frequency basis for stocks with liquid op
 tion trading. We estimate the lower bound empirically\nfor constituents of
  the S&P 500 index and study its cross-sectional properties. We find that 
 the bound increases with beta and decreases with size. The bound also prov
 ides an economically meaningful signal on future realized stock returns.
LOCATION:Cambidge Judge Business School\,  W2.01
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