Excess return on the market portfolio

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Excess return on the market portfolio

Difference between the return on the market portfolio and the riskless rate.
Copyright © 2012, Campbell R. Harvey. All Rights Reserved.

Excess Return on the Market Portfolio

The difference between the return on the market portfolio, a hypothetical portfolio of all securities, and the riskless rate of return, which is usually defined as the return on a 90-day Treasury bill. This may be taken as an indicator of how well (or poorly) the stock market is performing.
Farlex Financial Dictionary. © 2012 Farlex, Inc. All Rights Reserved
References in periodicals archive ?
Adding more asset classes reduces the standard deviation of excess returns on the market portfolio proxy from 4.42% (equity-only) to 2.11% (broadest proxy).
Furthermore, I assume that the excess returns on the market portfolio are independent of the noise term e and that the excess returns on the market portfolio are independent across time.
To determine whether this condition is met, I run an OLS regression of the excess returns of the momentum portfolio on the excess returns on the market portfolio for the period January 1927 to December 2009.