Starjournal Quotation Martin, Ian, Wagner, Christian. 2019. What is the Expected Return on a Stock? Journal of Finance. 74 (4), 1887-1929.


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Abstract

We derive a formula for the expected return on a stock in terms of the risk‐neutral variance of the market and the stock's excess risk‐neutral variance relative to that of the average stock. These quantities can be computed from index and stock option prices; the formula has no free parameters. The theory performs well empirically both in and out of sample. Our results suggest that there is considerably more variation in expected returns, over time and across stocks, than has previously been acknowledged.

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Publication's profile

Status of publication Published
Affiliation WU
Type of publication Journal article
Journal Journal of Finance
Citation Index SSCI
WU Journalrating 2009 A+
Starjournal Y
Language English
Title What is the Expected Return on a Stock?
Volume 74
Number 4
Year 2019
Page from 1887
Page to 1929
Reviewed? Y
DOI https://doi.org/10.1111/jofi.12778
Open Access N

Associations

People
Wagner, Christian (Details)
External
Martin, Ian (London School of Economics and Political Science, United Kingdom)
Organization
Institute for Finance, Banking and Insurance IN (Details)
Research areas (ÖSTAT Classification 'Statistik Austria')
5361 Financial management (Details)
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