Estimating Expected Return
论文指出基于历史数据估计预期收益不准确，强调理论在解释因子定价和错误定价中的作用，帮助投资者更可靠地估计预期收益。
If we want to estimate expected return on individual securities or on a portfolio, we need theory. Estimates based on past data are inaccurate, partly because of the many ways in which people can "mine" past data. "Explaining average return" is like explaining variance but does little to help us estimate expected return. Theory can help, though, by telling us how factors are priced and why factors and securities are mispriced.