Let me start with a simple example. Suppose you have a dividend strip that pays an unknown dividend $DT$. The gross return (something like 1.05 and NOT 5%!) on this security is, by definition, $$R{t\... Read More

One thing to notice is that indeed $E^Q[ST]=S0$, by construction, even though the stock price can only drop down to 0, but it can go up to $2\,S0, 3\,S0, 100\,S_0$, ... Thus, implicitly, there are c... Read More

Neither. Nasdaq publishes a close price at 4:01:30 p.m. ET known as the Nasdaq Official Close Price ("NOCP"). Nasdaq also amends this price up to 5:15 p.m. ET if any trades that were used to calculat... Read More

Fitting Fama-French or Carhart is as simple as learning how to perform Bayesian regression. Pretty much every introductory book Bayesian estimation will cover this. There are analytic formulae under... Read More

Yes you can use the Black-Scholes Model with $K=B(T)$ because $B(T)$ is deterministic (a constant like $K$, since $T$ is constant). However your current solution is incorrect as the Black-Scholes cal... Read More

Note that, for a smooth function and constant a $$f(St) = f(a) + f'(a) (St-a) + \inta^{\infty}(St-x)^+f^{''}(x)dx + \int{0}^a(x - St)^+f^{''}(x)dx.$$ Then, the payoff $1/St$ can be approximately hedg... Read More

There are a few papers out there. A good starting point os the (always relevant) Grossman and Stiglitz (1980) "On the Impossibility of Informationally Efficient Markets" which shows that markets cann... Read More

There does not seem to be a clear relationship between interest rates and equity risk premiums. Damodaran (2019) has a great paper that goes into details of equity risk premiums. In this work, he wri... Read More

A more apples to apples comparison would be between (i) Fama-Macbeth procedure and (2) clustering standard-errors by date. Adding fixed-effects is somewhat different. Problem: cross-sectional correla... Read More

I am afraid there is no short answer to that question. However there is some literature you can check. In this paper the author gives an overview over different methods and lists a lot of references.... Read More