What is the Expected Return on the Market?*
Has this study been replicated?
The atlas records 1 replication of this study. Recorded outcomes: 1 successful. The earliest on record is from 2019.
Replications
- Expected market returns: SVIX, realized volatility, and the role of dividends, Lof (2019). Journal of Applied Econometrics. Outcome recorded: successful.
I find that this result holds for both S&P 500 and CRSP market returns, regardless of whether returns include or exclude dividend
Outcome read from the abstract. View paper
Cite this record
Martin, I. (2016). What is the Expected Return on the Market?*. The Quarterly Journal of Economics, 132(1), 367–433. https://doi.org/10.1093/qje/qjw034
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