主题：A Bound on Expected Stock Returns
主讲人：圣路易斯华盛顿大学Olin商学院 Xiaoxiao Tang博士
We present a sufficient condition under which the prices of options with different strike prices written on a particular stock can be used to calculate a lower bound on the expected stock returns. The sufficient condition imposes a restriction on a combination of the stock"s systematic and idiosyncratic risk. The lower bound is forward-looking and can be calculated on a daily (and even intra-daily) basis for stocks with liquid option trading. We estimate the lower bound empirically for constituents of the S&P 500 index and study its cross-sectional properties. We find that the bound increases with beta and book-to-market and decreases with size and momentum. The bound also provides a noisy signal on future realized stock returns.