Generalized Bounds on the Conditional Expected Excess Return on Individual Stocks

The data for generalized lower bounds are publicly available at https://doi.org/10.17605/OSF.IO/7XCQW. The authors thank Haoxiang Zhu (the editor), the associate editor, and three anonymous referees for guidance. The authors received helpful comments and suggestions from Oleg Bondarenko, Adrian Buss, Jens Jackwerth, Johnathan Loudis (discussant), Mirela Sandulescu, Paul Schneider, Lorenzo Schönleber, Fabio Trojani, Raman Uppal, and Xiaoxiao Tang (discussant). The authors also thank participants at the European Finance Association Meeting, 70th Annual Meeting of the Midwest Finance Association, Vienna Workshop on Econometrics of Option Markets, Virtual Derivative Workshop, and seminar participants in the Frankfurt School, University of Edinburgh, University of Liverpool, and Xi’an Jiaotong Liverpool University for useful comments.