Efficient Estimation of Expected Stock Price Returns

13 Pages Posted: 9 Jan 2017 Last revised: 23 Jan 2017

See all articles by Dilip B. Madan

Dilip B. Madan

University of Maryland - Robert H. Smith School of Business

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

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

Dilip B. Madan (Contact Author)

University of Maryland - Robert H. Smith School of Business ( email )

College Park, MD 20742-1815
United States
301-405-2127 (Phone)
301-314-9157 (Fax)

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