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Stocks for the Long Run Internationally

September 24, 2020 • Posted in Equity Premium

Are buy-and-hold stock market returns attractive over the long run globally? In their May 2020 paper entitled “Stocks for the Long Run? Evidence from a Broad Sample of Developed Markets”, Aizhan Anarkulova, Scott Cederburg and Michael O’Doherty apply a stationary block bootstrap procedure (retaining some time series features) to generate distributions of 1,000,000 each 1-month to 30-year real returns across global equity markets. They mitigate survivorship and easy data biases via broad coverage of developed countries and inclusion of market interruptions. They focus on a long-term (30-year) investment horizon, with returns accumulated in local currencies. Using monthly total (dividend-reinvested) equity index returns and consumer price indexes for 39 developed countries as available according to certain criteria during January 1841 through December 2019, they find that: (more…)

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