TY - JOUR T1 - Estimating Expected Returns for Developed Equity Markets JF - The Journal of Investing SP - 53 LP - 60 DO - 10.3905/joi.2000.319399 VL - 9 IS - 1 AU - Lynn D. Roy Y1 - 2000/02/29 UR - https://pm-research.com/content/9/1/53.abstract N2 - This research examines model construction, performance, and other issues related to estimating expected returns for twenty-one developed country equity markets. Using in- and out-of-sample time periods, the author examines the properties of expected and realized returns. Results show that the country-specific alpha models predicts expected equity returns quite well. The results are stronger in-sample than out-of-sample. Using subsets for the G-7 countries or regional models reduces, but does not eliminate, alpha effectiveness. ER -