Guidolin, Massimo (contributor); … - 2005
include the dividend yield or the 1-month T-bill rate as additional state variables.
To quantify the economic significance of … therefore appropriate to consider their simple
returns as opposed to returns in excess of a T-bill rate. Conversely, we follow … common practice and consider
returns on the market portfolio in excess of the T-bill rate.
We first report the usual summary …