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.
Replications
- Expected market returns: SVIX, realized volatility, and the role of dividends, Lof (2019). 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
View paper
Other studies in the atlas
Failed replications · Successful replications · All browse pages