FINITE HORIZON EXPECTED RETURN MODEL
[Joseph R. Gordon] and [Myron J. Gordon]

PUBLICATIONS

  • Gordon, Joseph R., and Myron J. Gordon. 1997.
    "[The Finite Horizon Expected Return Model]."
    Financial Analysts Journal, vol. 53, no. 3 (May/June):52-61.

    From the Table of Contents:
    The finite horizon expected return model, a new method for estimating the expected return on a share, recognizes that forecasts of abnormal performance have a finite horizon. For the first time, expected return is found to be highly correlated with beta and dividend yield, as predicted by the capital asset pricing model.

PAPERS IN PROGRESS

  • Gordon, Joseph R. 200?.
    "The Finite Horizon Expected Return Model / Interest & Tax."

    A more rigorous derivation of the FHERM results in a simpler, very intuitive statement of the model. Also presented is a derivation of the FHERM / IT, where interest rates are term-dependent and/or where income tax rates on interest, dividends and capital gains may differ. Empirical tests will use 1976-99 I/B/E/S forecasts.