Concepedia

Expected Return Models

Expected Return Models is a theoretical framework in asset return modeling that specifies the systematic determination of the anticipated return on an investment by incorporating risk factors, market conditions, and asset characteristics to differentiate it from historical or realized return analyses.

721

Publications

90.7K

Citations

1.2K

Authors

616

Institutions

Publications per year

2017–2026

123

Parents

Publications

721

The Cross‐Section of Expected Stock Returns

Eugene F. Fama, Kenneth R. French · The Journal of Finance · 1992 · 15.1K citations · Full text

, , +16

Business conditions and expected returns on stocks and bonds

Eugene F. Fama, Kenneth R. French · Journal of Financial Economics · 1989 · 4.2K citations

, , +12

Dividend yields and expected stock returns

Eugene F. Fama, Kenneth R. French · Journal of Financial Economics · 1988 · 3.7K citations

, , +14

On estimating the expected return on the market

Robert C. Merton · Journal of Financial Economics · 1980 · 2.9K citations

, , +12

… and the Cross-Section of Expected Returns

Campbell R. Harvey, Yan Liu · Review of Financial Studies · 2015 · 2K citations · Full text

, , +17

1–5 of 721

Authors

1.2K

  1. WE
    Wayne E. Ferson

    National Bureau of Economic Research, United States

    11 publications · 2.9K citations

    11

    h-index

  2. ĽP
    Ľuboš Pástor

    University of Chicago, United States

    8 publications · 847 citations

    8

    h-index

  3. CR
    Campbell R. Harvey

    Duke University, United States

    8 publications · 4.6K citations

    8

    h-index

  4. EJ
    Edwin J. Elton

    New York University, United States

    7 publications · 1.5K citations

    7

    h-index

  5. JS
    Jay Shanken

    Emory University, United States

    7 publications · 402 citations

    7

    h-index

1–5 of 1.2K

Institutions

616

  1. National Bureau of Economic Research

    Cambridge, United States

    24 h-index

    52 publications

    7.9K citations

  2. New York University

    New York, United States

    20 h-index

    27 publications

    5.5K citations

  3. University of Chicago

    Chicago, United States

    16 h-index

    28 publications

    47.4K citations

  4. Centre for Economic Policy Research

    London, United Kingdom

    15 h-index

    22 publications

    2.1K citations

  5. University of Pennsylvania

    Philadelphia, United States

    13 h-index

    19 publications

    2.8K citations

  6. Cornell University

    Ithaca, United States

    12 h-index

    14 publications

    1K citations

  7. Duke University

    Durham, United States

    11 h-index

    13 publications

    2.6K citations

  8. University of Hong Kong

    Pok Fu Lam, Hong Kong

    10 h-index

    12 publications

    980 citations

1–8 of 616

Venues

  1. The Journal of Finance

    63 publications · 27.6K citations

    42

    h-index

  2. SSRN Electronic Journal

    Repository · 103 publications · 4.9K citations

    32

    h-index

  3. Journal of Financial Economics

    31 publications · 19.3K citations

    28

    h-index

  4. Review of Financial Studies

    21 publications · 7.2K citations

    21

    h-index

  5. Financial Analysts Journal

    FAJ · 21 publications · 1.4K citations

    17

    h-index

1–5