The Equity Curve and Its Relation to Future Stock Returns

Using option prices, a new method for estimating the term structure of expected stock returns (equity curve) is proposed. We analyse how the equity curve relates to future stock returns and obtain three main results. First, a higher level of the equity curve is associated with higher future stock re...

Full description

Bibliographic Details
Main Author: Olaf Stotz
Format: Article
Published: MDPI AG 2020-01-01
Series:Journal of Risk and Financial Management
Online Access: