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Cited by 462

The DOI matches its Crossref record; 21 of the 21 references it cites were found in a registry or an index.

Time-Variation in Expected Returns

Conrad, Jennifer, Kaul, Gautam·1988·The Journal of Business
DOI 10.1086/296441
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Abstract

This article characterizes the stochastic behavior of expected retu rns on common stocks. The authors assume market efficiency and postulate an autoregressive process for conditional expected returns. They use weekly returns of ten size-based portfolios over the 1962-8 5 period and find that (1) the variation through time in expected returns is well characterized by a stationary first-order autoregression process; (2) the extracted expected returns explain a substantial proportion (up to 26 percent) of the variance in realized returns and the magnitude of this proportion has a monotonic (inverse) relation with size; (3) the degree of variation in expected returns also changes systematically over time; and (4) the forecasts subsume the information in other potential predictor variables. Copyright 1988 by the University of Chicago.

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Metadata

Authors
Conrad, J., & Kaul, G.
Venue
The Journal of Business
Publisher
University of Chicago Press
Published
1988-01
Volume
61
Issue
4
Pages
409
ISSN
  • 0021-9398 (ISSN-L)
  • 1537-5374
DOI
10.1086/296441
OpenAlex
W1995352199
Cited by
462
References
21
FWCI
18.56
Type
journal article
Language
en
Open access
closed

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Bibliographic data: Semantic Scholar, OpenAlex, Crossref.

Contains information from the Semantic Scholar Academic Graph Datasets, made available under the ODC Attribution License (ODC-BY 1.0).

Semantic Scholar’s data is described in: Kinney, R., et al. (2023). The Semantic Scholar Open Data Platform. arXiv:2301.10140.