Generalized Bounds on the Conditional Expected Excess Return on Individual Stocks

doi:10.17605/OSF.IO/7XCQW

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The computation of the generalized lower bounds requires assumptions about risk preferences, such as relative risk aversion (RRA), and temperance (skewness preference). The provided dataset is computed under assumption of relative risk aversion of 2.0, half prudence of 1.0 (for glb2, based on the second-order Taylor-series expansion), and temperance of 4 (for glb3, based on the third-order Taylor-series expansion).

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