John Crosby

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How reliable is the recovery theorem of Ross (2015)? We explore this question in the context of options on the 30-year Treasury bond futures, allowing us to deduce restrictions that link the risk-neutral and physical distributions. The backbone of these restrictions is that the martingale component of the stochastic discount factor is unity. Our approach(More)
We use a notion of positive dependence between the permanent and transitory components of the stochastic discount factor to develop a lower bound on the expected excess return of a long-term bond. This lower bound is a crucial number, as it represents the minimum expected excess return demanded by investors and can be extracted from options on the 30-year(More)
We develop an incomplete markets framework to show that international risk sharing can be low, particularly among countries with large interest-rate differentials. Furthermore, risk sharing computed from asset returns can be consistent with that computed from consumption. The fundamental departure in our paper is that exchange rate growth need not equal the(More)
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