On estimating the expected return on the market: An exploratory investigation☆
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2024, Journal of Econometrics
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Aid from the Debt and Equity project of the National Bureau of Economic Research, and the National Science Foundation is gratefully acknowledged. Any opinions expressed are not those of either the National Bureau of Economic Research or the National Science Foundation. My thanks to F. Black and J. Cox for many helpful discussions and to R. Henriksson for scientific assistance. I sincerely appreciate the editorial suggestions of E. Fama, M. Jensen, and G.W. Schwert.
Copyright © 1980 Published by Elsevier B.V.