Recovering Conditional Return Distributions by Regression: Estimation and Applications

摘要: I propose a regression approach to recovering the return distribution of an individual asset conditional on aggregate index based their marginal distributions. This relies identifying assumption that given does not vary over time. show how empirically implement this using option price data. then apply examine cross-sectional equity risk premium associated with systematic disaster risk, estimate exposure banks systemic shocks, and extend Ross (Journal Finance, 2014) recovery theorem assets.