Book of Donmon Teith

We develop an ex-ante measure of expected stock returns based on analyst price targets. We then show that ex-ante measures of volatility, skewness, and kurtosis

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

ABSTRACT: This dissertation examines if information extracted from the options markets is priced in the cross-section of equity returns and whether or not this

The highly prized ability to make financial plans with some certainty about the future comes from the core fields of economics. In recent years the availability

We find a positive relationship between individual stocks' implied variance asymmetry, defined as the difference between upside and downside risk-neutral semiva