BAFI Academic Seminar

Do Stocks Outperform Treasury Bill?

Most common stocks do not.  Slightly more than four out of every seven common stocks that have appeared in the CRSP database since 1926 have lifetime buy-and-hold returns, inclusive of reinvested dividends, less than those on one-month Treasuries. When stated in terms of lifetime dollar wealth creation, the entire gain in the U.S. stock market since 1926 is attributable to the best-performing four percent of listed companies.  These results highlight the important role of positive skewness in the cross-sectional distribution of stock returns.  The skewness of multi-period returns arises both from positive skewness in monthly returns and because the compounding of random returns induces skewness.  The results help to explain why active strategies, which tend to be poorly diversified, most often underperform market averages.

Fee: [Yes/No/Varies]

Contact Information:
Tedda Nathan
Dept. Administrator
txn2@case.edu
(216) 368-2040 [Phone]
(216) 368-6249 [Fax]

Friday, Oct. 20, 2017 from 10:30 a.m. to noon
Peter B. Lewis Building, Room 283
11119 Bellflower Road
Cleveland, OH 44106-7235
United States
Speaker(s): Hendrik Bessembinder, Arizona State Univ
Bessembinder paper

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