Martin, Ian, Wagner, Christian. 2019. What is the Expected Return on a Stock? Journal of Finance. 74 (4), 1887-1929.
BibTeX
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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Status of publication | Published |
---|---|
Affiliation | External |
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)