I present a method for deriving the entire physical return distributions of individual stocks directly from option prices. The method is theoretically nested in an equilibrium model, obeys the law-of one-price, and can be implemented in real-time in a forward-looking manner. The method performs...

We use data from the aggregate stock and dividend futures markets to quantify how investors' expectations about economic growth evolve across horizons in response to the new coronavirus (COVID-19) outbreak and subsequent policy responses until July 2020. Dividend futures, which are claims to...

We use data from the aggregate stock market and dividend futures to quantify how investors' expectations about economic growth evolve across horizons in response to the coronavirus outbreak and subsequent policy responses until June 2020. Dividend futures, which are claims to dividends on the...

We test whether the "representative agent" has intertemporally consistent expectations about time variation in the equity premium. First, we use option prices to estimate the expected future log equity premium (the forward rate) and compare this estimate to the log equity premium estimated in...