What Is the Expected Return on a Stock?

• 成果类型: Article
• 署名作者: Martin, Ian W. R.; Wagner, Christian
• 署名单位: University of London; London School Economics & Political Science; Copenhagen Business School
• 刊物名称: JOURNAL OF FINANCE
• ISSN/ISSBN: 0022-1082
• DOI: 10.1111/jofi.12778
• 发表日期: 2019
• 页码: 1887-1929
• 关键词: cross-section; RISK

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.