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has been cited by the following article:
TITLE: Expected Stock Returns and Option-Implied Rate of Return
AUTHORS: Samuel Y. M. Ze-To
KEYWORDS: Implied Rate of Return; Options
JOURNAL NAME: Journal of Mathematical Finance, Vol.2 No.4, November 19, 2012
ABSTRACT: This paper examines the predictability of implied required rate of return (ROI) of individual stock in the cross-section of stock returns. The required rate of return of each stock is implied using its corresponding stock options and used in estimating the fundamental value of stock. The study finds that stocks with low price to fundamental value have higher future returns. The inferred ROIOI