What Is the Expected Return on a Stock?

被引：52

作者：

Martin, Ian W. R. ^{[1
]}

Wagner, Christian ^{[2
]}

机构：

[1] London Sch Econ, London, England

[2] Copenhagen Business Sch, Frederiksberg, Denmark

来源：

JOURNAL OF FINANCE | 2019年 / 74卷 / 04期

基金：

欧洲研究理事会;

关键词：

CROSS-SECTION; RISK;

D O I：

10.1111/jofi.12778

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

摘要：

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.

引用

页码：1887 / 1929

页数：43

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