@article {Philips49, author = {Thomas K. Philips}, title = {Estimating Expected Returns}, volume = {12}, number = {3}, pages = {49--57}, year = {2003}, doi = {10.3905/joi.2003.319554}, publisher = {Institutional Investor Journals Umbrella}, abstract = {I present simple estimators for the expected returns of stocks and bonds and compare them to the standard historical, or sample mean, estimator. I show that as a result of a capital gains constraint that stocks and bonds must satisfy, the historical estimator can be acutely biased. I further show that an estimator for the expected return of stocks derived from the Edwards-Bell-Ohlson equation yields unbiased estimates that are useful in practice. Finally, I estimate the equity risk premium and show that it is positive, contradicting Arnott and Ryan{\textquoteright}s [2001] claim that it is negative.}, issn = {1068-0896}, URL = {https://joi.pm-research.com/content/12/3/49}, eprint = {https://joi.pm-research.com/content/12/3/49.full.pdf}, journal = {The Journal of Investing} }