Efficient Estimation of Expected Stock Price Returns
13 Pages Posted: 9 Jan 2017 Last revised: 23 Jan 2017
Date Written: January 21, 2017
Abstract
Daily asset returns are modeled using self decomposable limit laws and the structure is used to estimate the density of the uncentered data. Estimates of mean returns are a byproduct of the density estimate. Estimates of mean returns via density estimation have significantly lower standard errors when compared to estimates derived via the usual method of straight averaging.
Keywords: variance gamma model, digital moment estimation, self decomposable laws, limit laws
JEL Classification: G10, G11, G12
Suggested Citation: Suggested Citation
Madan, Dilip B., Efficient Estimation of Expected Stock Price Returns (January 21, 2017). Robert H. Smith School Research Paper No. RHS 2894499, Available at SSRN: https://ssrn.com/abstract=2894499 or http://dx.doi.org/10.2139/ssrn.2894499
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