We propose an unconditional non-parametric approach to the simultaneous estimation of volatility and expected return. By means of a detailed analysis of the returns of the Standard amp; Poors 500 (Samp;P 500) composite stock index over the last fifty years we show how theoretical results and...

The relation between stock prices and accounting earnings has been a central theme in accounting research for more than half a century. By almost exclusively emphasizing a lin- ear, parametric approach, the literature has been unable to convincingly overcome a number of modeling issues,...