On Estimating the Expected Real Return on the Market in a General Equilibrium Framework

Peter Bossaerts

University of California at Los Angeles, Anderson Graduate School of Management from Anderson Graduate School of Management, UCLA

Abstract: Two problems in estimating the expected real return on the market are dealt with: (1) the absence of reliable real data, (2) the absence of observations of market (i.e., economy-wide) returns. By combining financial and monetary theory, a general equilibrium model is constructed, both in a single-economy and a multi-economy setting, which indicate the variables to be used to avoid the estimation problems: (1) nominal stock index returns, (2) money supply data, (3) foreign exchange rate data. ...

Date: 1985-05-01
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