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Do stocks outperform treasury bills in international markets?

Author

Listed:
  • Fang, Jiali
  • Marshall, Ben R.
  • Nguyen, Nhut H.
  • Visaltanachoti, Nuttawat

Abstract

More than half the common stocks in the majority (55 of 57) of international equity markets generate total returns less than Treasury bill returns. However, there is a sizable variation in the extent of this underperformance. A greater proportion of stocks underperform in countries with weaker governance, less individualistic investors, less openness to trade and foreign equity market investment, less financial market development, and weaker economies.

Suggested Citation

  • Fang, Jiali & Marshall, Ben R. & Nguyen, Nhut H. & Visaltanachoti, Nuttawat, 2021. "Do stocks outperform treasury bills in international markets?," Finance Research Letters, Elsevier, vol. 40(C).
    • Handle: RePEc:eee:finlet:v:40:y:2021:i:c:s1544612319314916
    DOI: 10.1016/j.frl.2020.101710
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    Cited by:

    1. Huang, Gow-Cheng & Liano, Kartono & Pan, Ming-Shiun, 2022. "Do IPOs outperform Treasury bills?," Finance Research Letters, Elsevier, vol. 47(PA).
    2. Tomislava Pavic Kramaric & Marko Miletic & Petar Pepur, 2023. "The Treynor Ratio as a Risk-adjusted Return of Croatian Listed Firms," International Journal of Economic Sciences, European Research Center, vol. 12(2), pages 92-106, November.

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    More about this item

    Keywords

    Individual stock returns; Treasury bill returns; International equity markets;
    All these keywords.

    JEL classification:

    • G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
    • G23 - Financial Economics - - Financial Institutions and Services - - - Non-bank Financial Institutions; Financial Instruments; Institutional Investors

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