The DOI matches its Crossref record; 30 of the 30 references it cites were found in a registry or an index.
The Recovery Theorem
Open accessAbstract
We can only estimate the distribution of stock returns, but from option prices we observe the distribution of state prices. State prices are the product of risk aversion—the pricing kernel—and the natural probability distribution. The Recovery Theorem enables us to separate these to determine the market's forecast of returns and risk aversion from state prices alone. Among other things, this allows us to recover the pricing kernel, market risk premium, and probability of a catastrophe and to construct model‐free tests of the efficient market hypothesis.
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Citations
Cites
The pricing of options and corporate liabilities
Black, F., & Scholes, M. (1973) · Journal of Political Economy · doi:10.1086/260062 · Cited by 29,074
Efficient capital markets: A review of theory and empirical work
Fama, E. F. (1970) · The Journal of Finance · doi:10.2307/2325486 · Cited by 13,635
Theory of Rational Option Pricing
Merton, R. C. (2019) · World Scientific Reference on Contingent Claims Analysis in Corporate Finance · doi:10.1142/9789814759588_0002 · Cited by 7,948
The arbitrage theory of capital asset pricing
Ross, S. A. (1976) · Journal of Economic Theory · doi:10.1016/0022-0531(76)90046-6 · Cited by 7,009
Self-citationOption pricing: A simplified approach
Cox, J. C., Ross, S. A., & Rubinstein, M. (1979) · Journal of Financial Economics · doi:10.1016/0304-405x(79)90015-1 · Cited by 6,083
Self-citationMehra, R., & Prescott, E. C. (1985) · Journal of Monetary Economics · doi:10.1016/0304-3932(85)90061-3 · Cited by 5,535
Epstein, L. G., & Zin, S. E. (1989) · Econometrica · doi:10.2307/1913778 · Cited by 4,262
Do Stock Prices Move Too Much to be Justified by Subsequent Changes in Dividends?
Shiller, R. (1980) · National Bureau of Economic Research · doi:10.3386/w0456 · Cited by 3,986
Matrix Analysis and Applied Linear Algebra
Meyer, C. (2000) · doi:10.1137/1.9780898719512 · Cited by 3,565
The valuation of options for alternative stochastic processes
Cox, J. C., & Ross, S. A. (1976) · Journal of Financial Economics · doi:10.1016/0304-405x(76)90023-4 · Cited by 2,934
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Metadata
- Authors
- ROSS, S.
- Venue
- The Journal of Finance
- Publisher
- Wiley
- Published
- 2015-03-12
- Volume
- 70
- Issue
- 2
- Pages
- 615-648
- ISSN
- 0022-1082 (ISSN-L)
- 1540-6261
- OpenAlex
- W2122413893
- Cited by
- 353
- References
- 30
- FWCI
- 20.77
- Type
- journal article
- Language
- en
- Open access
- green
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Contains information from the Semantic Scholar Academic Graph Datasets, made available under the ODC Attribution License (ODC-BY 1.0).
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