Analyst price target expected returns and option implied risk

Motivated by the nature of asset pricing models, we investigate the cross-sectional relation between the market's ex-ante view of a stock's risk and the stock's ex-ante expected return. We demonstrate that an ex-ante measure of expected returns based on analyst price targets is highly...

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Bibliographic Details
Main Authors: BALI, Turan G., HU, Jianfeng, MURRAY, Scott
Format: text
Language:English
Published: Institutional Knowledge at Singapore Management University 2014
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Online Access:https://ink.library.smu.edu.sg/lkcsb_research/5461
https://ink.library.smu.edu.sg/context/lkcsb_research/article/6460/viewcontent/SSRN_id2516937.pdf
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Institution: Singapore Management University
Language: English

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