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How Did We Get Here? A Brief History of Expected Returns Formation
Antti Ilmanen / Thomas Maloney
time seriesResource overview

How Did We Get Here? A Brief History of Expected Returns Formation

Paper2025

by Antti Ilmanen, Thomas Maloney

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time series

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Suggested foundations for financial time series. Specialist prerequisites vary by paper.

Before you read

  1. Stationarity and Unit Roots

    Check whether a relationship can be estimated consistently over time.

  2. Linear Regression

    Read the fitted relationship and its residuals.

Go further

  1. Cointegration and Error Correction

    Study long-run relationships without confusing them with correlation.

  2. Regression Assumptions and Diagnostics

    Check the assumptions behind reported estimates.

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