Corrado, Charles J.; Miller, Thomas W. - In: Journal of Financial Research 29 (2006) 1, pp. 95-112
We test the relation between expected and realized excess returns for the S&P 500 index from January 1994 through December 2003 using the proportional reward-to-risk measure to estimate expected returns. When risk is measured by historical volatility, we find no relation between expected and...
