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Journal Article
A Historical Perspective on Time-Varying Expected Returns
February 8, 2017
Investors naturally think about the expected returns of bonds based on their market yields, thus assuming time-varying expected returns.
Journal Article
Which Risks Have Been Best Rewarded?
December 1, 2004
An empirical study examines the consistency of rewards for bearing various types of risks in U.S.
Journal Article
Demystifying Illiquid Assets: Expected Returns for Private Equity
January 31, 2019
We lay out a framework for expected returns for private equity that is based on a discounted cashflow framework similar to what we use for public stocks and bonds.
Journal Article
Pronounced Momentum Patterns Ahead of Major Events
March 1, 2003
Many financial asset measures exhibit a weak continuation tendency.
Book
Expected Returns: An Investors Guide to Harvesting Market Rewards
March 1, 2011
Finance theories have changed dramatically over the past 30 years, away from the restrictive theories of the single-factor CAPM, efficient markets, and constant expected returns.
Journal Article
Do Financial Markets Reward Buying or Selling Insurance and Lottery Tickets?
September 1, 2012
Investors, like almost everyone else, dislike catastrophic negative surprises and love unexpected windfalls.
Book
Expected Returns on Major Asset Classes
January 5, 2012
Expected returns are arguably the most important input into investment decisions. By broadening the traditional paradigm of expected return estimation, we think investors have the ability achive better-diversified portfolios and more forward-looking analysis.
Journal Article
How Much Should DC Savers Worry About Expected Returns?
August 3, 2016
DC savings analyses typically anchor on long-term stock and bond returns when estimating retirement income.
Journal Article
Stock-Bond Correlations
September 1, 2003
The correlation between stock market and government bond returns was positive through most of the 1900s, but negative in the early 1930s, the late 1950s, and recently.
White Paper
Are Defensive Stocks Expensive? A Closer Look at Value Spreads
November 20, 2015
Investors have been concerned about the rich valuation of defensive stocks and how that may crimp returns. Using value spreads, we analyze the relative prices of defensive stocks and discuss the difficulties in predicting style returns.