Market-Based “Actual” Returns of Investors

Olkhov, Victor (2023): Market-Based “Actual” Returns of Investors.

Abstract

We describe how the market-based average and volatility of the “actual” return, which the investors gain within their market sales, depend on the statistical moments, volatilities, and correlations of the current and past market trade values. We describe three successive approximations. First, we derive the dependence of the market-based average and volatility of a single sale return on market trade statistical moments determined by multiple purchases in the past. Then, we describe the dependence of average and volatility of return that a single investor gains during the “trading day.” Finally, we derive the market-based average and volatility of return of different investors during the “trading day" as a function of volatilities and correlations of market trade values. That highlights the distribution of the “actual” return of market trade and can serve as a benchmark for “purchasing” investors.

• Item Type: MPRA Paper
• Language: English
• Keywords: market-based volatility; stock returns; trade value correlations
• Subjects: C - Mathematical and Quantitative Methods > C0 - General; C - Mathematical and Quantitative Methods > C8 - Data Collection and Data Estimation Methodology ; Computer Programs > C80 - General; G - Financial Economics > G1 - General Financial Markets; G - Financial Economics > G1 - General Financial Markets > G11 - Portfolio Choice ; Investment Decisions; G - Financial Economics > G1 - General Financial Markets > G12 - Asset Pricing ; Trading Volume ; Bond Interest Rates

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