Efficient estimation of expected stock price returns

Dilip B. Madan

Finance Research Letters, 2017, vol. 23, issue C, 31-38

Abstract: Daily asset returns are modeled using self decomposable limit laws and the structure is used to estimate the density of the uncentered data. Estimates of mean returns are a byproduct of the density estimate. Estimates of mean returns via density estimation have significantly lower standard errors when compared to estimates derived via the usual method of straight averaging.

Keywords: Variance gamma model; Digital moment estimation; Self decomposable laws; Limit laws (search for similar items in EconPapers)
JEL-codes: G10 G11 G12 (search for similar items in EconPapers)
Date: 2017
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Citations: View citations in EconPapers (5)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:finlet:v:23:y:2017:i:c:p:31-38

DOI: 10.1016/j.frl.2017.08.001

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