The expected market return is a number frequently required for the solution of many investment and corporate tinance problems, but by comparison with other tinancial variables, there has been little research on estimating this expected return. Current practice for estimating the expected market

We especially thank an anonymous referee and Rob Stambaugh, the editor, for helpful suggestions that greatly improved the article. Andrew Ang and Bob Hodrick both acknowledge support from the NSF.

We analyze time-series of investor expectations of future stock market returns from six data sources between 1963 and 2011. The six measures of expectations are highly positively correlated with each other, as well as with past stock returns and with the level of the stock market. However, investor

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Asset pricing models predict relations between assets’ expected rates of return and their risks or behavioral attributes. However, almost all tests of these models use realized return as a proxy for expected return. This paper extracts proxies for the market’s estimate of expected return using

The purpose of this study is to discuss portfolio theory. More specifically how an investor can maximize a portfolio’s expected return while at the same time trying to minimize portfolio risk. This will be done by looking at both international and Kuwaiti stock market data. One important question

The aggregate dividend payout ratio forecasts aggregate excess returns on both stocks and corporate bonds in post-war US data. Both high corporate profits and high stock prices forecast low excess returns on equities. When the payout ratio is high, expected returns are high, The payout ratio’s

This paper examines the relation between stock returns and stock market volatility. We find evidence that the expected market risk premium (the expected return on a stock portfolio minus the Treasury bill yield) is positively related to the predictable volatility of stock returns. There is also

This paper shows that a ratio of share prices to GDP (output in the economy) tracks a large fraction of the variation over time in expected returns from the aggregate stock market. In particular, the price-output ratio captures considerably more of the variation in returns than do price

of the aforementioned are responsible for any opinions expressed or any errors. 1 One of the fundamental issues in finance is what are the factors that affect expected return on assets, the sensitivity of expected return to these factors, and the reward for bearing this sensitivity. There is a long history of testing