PT  - JOURNAL ARTICLE
AU  - Lynn D. Roy
TI  - Estimating Expected Returns for Developed Equity Markets
AID  - 10.3905/joi.2000.319399
DP  - 2000 Feb 29
TA  - The Journal of Investing
PG  - 53--60
VI  - 9
IP  - 1
4099  - https://pm-research.com/content/9/1/53.short
4100  - https://pm-research.com/content/9/1/53.full
AB  - This research examines model construction, performance, and other issues related to estimating expected returns for twenty-one developed country equity markets. Using in- and out-of-sample time periods, the author examines the properties of expected and realized returns. Results show that the country-specific alpha models predicts expected equity returns quite well. The results are stronger in-sample than out-of-sample. Using subsets for the G-7 countries or regional models reduces, but does not eliminate, alpha effectiveness.