Stocks for the long run? Evidence from a broad sample of developed markets

• 成果类型: Article
• 署名作者: Anarkulova, Aizhan; Cederburg, Scott; O'Doherty, Michael S.
• 署名单位: University of Arizona; University of Missouri System; University of Missouri Columbia
• 刊物名称: JOURNAL OF FINANCIAL ECONOMICS
• ISSN/ISSBN: 0304-405X
• DOI: 10.1016/j.jfineco.2021.06.040
• 发表日期: 2022
• 页码: 409-433
• 关键词: Long-horizon stock returns; Loss probability; Survivor bias; Easy data bias

摘要

We characterize the distribution of long-term equity returns based on the historical record of stock market performance in a broad cross section of 39 developed countries over the period from 1841 to 2019. Our comprehensive sample mitigates concerns over survivor and easy data biases that plague other work in this area. A bootstrap simulation analysis im-plies substantial uncertainty about long-horizon stock market outcomes, and we estimate a 12% chance that a diversified investor with a 30-year investment horizon will lose relative to inflation. The results contradict the conventional advice that stocks are safe investments over long holding periods. (c) 2021 Elsevier B.V. All rights reserved.