Analyst price target expected returns and option implied risk

• Main Authors: BALI, Turan G., HU, Jianfeng, MURRAY, Scott
• 格式: text
• 語言: English
• 出版: Institutional Knowledge at Singapore Management University 2014
• 主題: Risk-Neutral Moments; Option-Implied Risk; Ex-Ante Expected Stock Returns; Price Targets; Finance and Financial Management; Portfolio and Security Analysis
• 在線閱讀: https://ink.library.smu.edu.sg/lkcsb_research/5461; https://ink.library.smu.edu.sg/context/lkcsb_research/article/6460/viewcontent/SSRN_id2516937.pdf
• 機構: Singapore Management University

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...