Reconsidering Returns

• 成果类型: Article
• 署名作者: Hartzmark, Samuel M.; Solomon, David H.
• 署名单位: University of Chicago; National Bureau of Economic Research; Boston College
• 刊物名称: REVIEW OF FINANCIAL STUDIES
• ISSN/ISSBN: 0893-9454
• DOI: 10.1093/rfs/hhab015
• 发表日期: 2022
• 页码: 343
• 关键词: COMMON; Dividends; prices; stocks; media; RISK; performance; Sentiment; POLICY; rates

摘要

Investors' perception of performance is biased because the relevant measure, returns, is rarely displayed. Major indices ignore dividends, thereby underreporting market performance. Newspapers are more pessimistic on ex-dividend days, consistent with mistaking the index for returns. Market betas should track returns, but track prices more than dividends, creating predictable returns. Mutual funds receive inflows for beating the S&P 500 price index based on net asset value (also not a return). Investors extrapolate market indices, not returns, when forming annual performance expectations. Displaying returns by default would ameliorate these issues, which arise despite high attention and agreement on the appropriate measure.