On estimating the expected return on the market: An exploratory investigation
Опубликовано на портале: 03-10-2003
Journal of Financial Economics.
1980.
Vol. 8.
No. 4.
P. 323-361.
Организация:
National Bureau of Economic Research (NBER)Тематические разделы:
The expected market return is a number frequently required for the solution of many
investment and corporate finance problems, but by comparison with other financial
variables, there has been little research on estimating this expected return. Current
practice for estimating the expected market return adds the historical average realized
excess market returns to the current observed interest rate. While this model explicitly
reflects the dependence of the market return on the interest rate, it fails to account
for the effect of changes in the level of market risk. Three models of equilibrium
expected market returns which reflect this dependence are analyzed in this paper.
Estimation procedures which incorporate the prior restriction that equilibrium expected
excess returns on the market must be positive are derived and applied to return data
for the period 1926–1978. The principal conclusions from this exploratory investigation
are: (1) in estimating models of the expected market return, the non-negativity restriction
of the expected excess return should be explicity included as part of the specification:
(2) estimators which use realized returns should be adjusted for heteroscedasticity.
Материалы статьи используются в книге Брейли и Майерса "Принципы корпоративных финансов"
Ключевые слова
См. также:
[Интернет-ресурс]
On the Relation between the Expected Value and the Volatility of the Nominal Excess
Return on Stocks
Journal of Finance.
1993.
Vol. 48.
No. 5.
P. 1779-1801.
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