@ARTICLE{18860995_1980,
author = {Merton, Robert C.},
keywords = {corporate finance, interest rate, risk, средняя доходность},
title = {On estimating the expected return on the market: An exploratory
investigation },
journal = {Journal of Financial Economics},
year = {1980},
month = {},
volume = {8},
number = {4},
pages = {323-361},
url = {http://ecsocman.hse.ru/text/18860995/},
publisher = {},
language = {ru},
abstract = {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. },
annote = {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. }
}