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.

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.
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.