Global Stock Markets in the 20th Century
Abstract (Via Jorion & Goetzmann)
Long- term estimates of expected return on equities are typically derived from U.S. Data only. There are reasons to suspect, however, that these estimates are subject to survivorship, as the United States is arguably the most successful capitalist system in the world. We collect a database of capital appreciation indexes for 39 markets going back into the 1920s. Over 1921 to 1996 U.S. equities had the highest real returns of all countries at 4.3percent versus a median of .8% for other countries. The high equity premium obtained for U.S. Equities therefore appears to be the exception rather than the rule.