Implied expected returns are used to predict how well a portfolio will perform, based on its efficiency and the risks involved. By looking at monthly implied expected stock returns from 1984 to 2014, researchers found that using risk-based portfolio proxies like market capitalization or fundamental value portfolios can improve return forecasts. These proxies help make return predictions more stable and accurate compared to other methods. Overall, implied expected returns were better at predicting future returns than time-series models for all the proxies tested.