Kipp, Martin; Koziol, Christian - In: Credit and Capital Markets – Kredit und Kapital 53 (2020) 3, pp. 355-381
The paper revisits the two major concepts for average historical returns, i.?e., the arithmetic mean and the geometric …, to the arithmetic mean rather than the often wrongly applied geometric mean. Likewise, the prominent CAPM relationship … between the expected asset return and the expected market return is only valid for the arithmetic mean rather than the …