RT Journal Article SR Electronic T1 Estimating Expected Returns for Developed Equity Markets JF The Journal of Investing FD Institutional Investor Journals SP 53 OP 60 DO 10.3905/joi.2000.319399 VO 9 IS 1 A1 Lynn D. Roy YR 2000 UL https://pm-research.com/content/9/1/53.abstract 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.