The central formula in asset pricing relates the price of an Arrow-Debreu security to an investor's preferences and beliefs: Price of an Arrow-Debreu security = Preferences Beliefs. We observe the prices of Arrow-Debreu securities in the option markets. But we do not directly observe the extent...

We characterize when physical probabilities, marginal utilities, and the discount rate can be recovered from observed state prices for several future time periods. We make no assumptions of the probability distribution, thus generalizing the time-homogeneous stationary model of Ross (2015)....

We measure investors' short- and long-term stock-return expectations using both options and survey data. These expectations at different horizons reveal what investors think their own short-term expectations will be in the future, or forward return expectations. While contemporaneous short-term...