Episode 259: Comprehensive Overview: Estimating Expected Returns
The Rational Reminder Podcast
How to Estimate Expected Stock Returns
Professor Eugene Fama: Historical average return is a number whose deviation from the true expected value has a big variance. Even though you have now almost 100 years of data on this, you still don't get a very precise estimate of the expected value. There's no way to get around that to handle it in a better way. We just don't know the expected premium of stocks or bills, for example.
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