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New Forecasts of the Equity Premium

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NBER2004-04-01 更新2025-01-04 收录
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If investors are myopic mean-variance optimizers, a stock's expected return is linearly related to its beta in the cross section. The slope of the relation is the cross-sectional price of risk, which should equal the expected equity premium. We use this simple observation to forecast the equity

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2004-04-01
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