{"id":"W2600709751","doi":"10.1093/jjfinec/nbx009","title":"Forecasting Stock Returns Using Option-Implied State Prices*","year":2017,"lang":"en","type":"article","venue":"Journal of Financial Econometrics","topic":"Financial Markets and Investment Strategies","field":"Economics, Econometrics and Finance","cited_by":8,"is_retracted":false,"has_abstract":true,"ca_institutions":"Carleton University","funders":"","keywords":"Economics; Econometrics; Quantile; Skewness; Capital asset pricing model; Volatility (finance); Equity premium puzzle; Equity (law); Stock (firearms); Risk aversion (psychology); Financial economics; Valuation of options; Expected utility hypothesis","routes":{"ca_aff":true,"ca_fund":false,"ca_venue":false,"about_ca":false,"invisible_to_affiliation_only":false},"retraction":null,"screen":null,"direct_labels":[],"prediction":{"model_version":"codex-gemma-dda1882f352a","candidate_categories":["metaepi_narrow"],"consensus_categories":[],"category_scores_codex":[0.00164734,0.0002745409,0.0008904779,0.001217174,0.0007276671,0.0006682286,0.0008551481,0.0001757198,0.0001370892],"category_scores_gemma":[0.002818709,0.0002996586,0.0003509215,0.0004509721,0.0001547997,0.00198188,0.0001575424,0.0004320913,0.0000331966],"about_ca_system_candidate":false,"about_ca_system_consensus":false,"about_ca_system_score_codex":0.0003523184,"about_ca_system_score_gemma":0.0002544246,"about_ca_topic_candidate":false,"about_ca_topic_consensus":false,"about_ca_topic_score_codex":0.0001398342,"about_ca_topic_score_gemma":0.00002670964,"domain_scores_codex":[0.9972624,0.00001260744,0.001768716,0.0003411668,0.00009938588,0.0005157227],"domain_scores_gemma":[0.9938999,0.0001020351,0.005062095,0.0005208184,0.0002153458,0.0001997648],"domain_codex":null,"domain_gemma":null,"domain_candidate":null,"domain_consensus":null,"study_design_codex":"theoretical_or_conceptual","study_design_gemma":"observational","study_design_scores_codex":[0.0004209009,0.0006063248,0.4420175,0.0002960533,0.000272547,0.0002446359,0.001166993,0.002358437,0.0001009635,0.5057685,0.003617061,0.04313006],"study_design_scores_gemma":[0.002717893,0.0008956112,0.6539075,0.000167086,0.00004857708,0.0001542233,0.00007747253,0.01802749,0.0001478905,0.2541426,0.06863312,0.001080521],"study_design_candidate":"observational","study_design_consensus":null,"genre_codex":"empirical","genre_gemma":"empirical","genre_scores_codex":[0.9628751,0.001849879,0.006986921,0.000284059,0.002808449,0.000212613,0.0001274734,0.00001272773,0.0248428],"genre_scores_gemma":[0.9904715,0.0006476907,0.00753379,0.0001865027,0.0007990396,0.000003471062,0.000002397014,0.00003925414,0.0003163581],"genre_candidate":"empirical","genre_consensus":"empirical","teacher_disagreement_score":0.2516259,"threshold_uncertainty_score":0.9999456,"prediction_status":"machine_predicted_unvalidated"},"machine_scores":{"provisional":true,"baseline":true,"maturity_gate_passed":false,"score_opus":0.1476497792311889,"score_gpt":0.2658294531670003,"score_spread":0.1181796739358114,"validation_status":"score_only:v0-immature-baseline","note":"Baseline scores from an immature model (maturity gate not passed). Scores rank; they never assert a category."}}