<r>GM, you're right-- by kappa_g, I mean speed of mean reversion for expected earnings growth. And by original paper, I mean the paper at <URL url="http://papers.ssrn.com/sol3/papers.cfm?abstract_id=273048#Paper%20Download"><LINK_TEXT text="http://papers.ssrn.com/sol3/papers.cfm? ... 20Download">htt...

<t>First, let me say that I'm not making any claims yet on the validity of this as a theoretical model... For right now, I'm more interested is the predictive power of it's mispricings. As far as the notion of "arbitrage-free", I think the actual argument is to balance the expected return on the sto...

<r>Has anyone looked at the Bakshi-Chen-Dong model (see link below) as a possible source of alpha? Better yet, anyone implemented it or interested in working through it with me (I've already made significant progress)?<URL url="http://www.yorku.ca/mdong/papers/stkmodel.htm">http://www.yorku.ca/mdong...