Concepedia

A New Formula for the Expected Excess Return of the Market

Gurdip Bakshi, John Crosby, Xiaohui Gao, Wei Zhou

SSRN Electronic Journal · 2019 · 13 citations · 24 references

Open access

Concepts

BusinessBusiness EconomicsFinanceAsset PricingFinancial EconomicsQuantitative FinanceAsset Pricing EmpiricsAsset Return ModelingCapital Asset PricingCapital Asset Pricing ModelMarket RiskRisk-return AnalysisExpected Return AnalysisExpected Return ModelsFat-tailed Return DistributionsRisk-return Tradeoff Analysis

References

24

A Simple, Positive Semi-Definite, Heteroskedasticity and Autocorrelation Consistent Covariance Matrix

Whitney K. Newey, Kenneth D. West · Econometrica · 1987 · 17.1K citations

Social Sciences, Economics, Econometrics +10

On estimating the expected return on the market

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

Business, Economics, Finance +12

Can Time‐Varying Risk of Rare Disasters Explain Aggregate Stock Market Volatility?

Jessica A. Wachter · The Journal of Finance · 2013 · 969 citations

Business, Economics, Finance +17

Recovering Risk Aversion from Option Prices and Realized Returns

Jens Carsten Jackwerth · Review of Financial Studies · 2000 · 901 citations

Business, Economics, Finance +12

What is the Expected Return on the Market?*

Ian Martin · The Quarterly Journal of Economics · 2016 · 553 citations · Full text

Business, Economics, Finance +17