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Dollar-weighted returns to stock investors: A new look at the evidence

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  • Keswani, Aneel
  • Stolin, David

Abstract

Dichev [2007. American Economic Review 97, 386-401], in an influential paper, examines the gap between the performance of major stock markets and the dollar-weighted performance of investors in these markets. He finds a significant gap of 1.3 percent per year for NYSE/AMEX and 1.5 percent internationally. We question these results. The NYSE/AMEX performance gap is actually negative in the last two thirds of Dichev's 1926-2002 period, while his international results are influenced by a dramatic increase in Datastream's coverage. When, instead of Datastream, we use a comprehensive share price database, the UK performance gap changes from 1.1 to -1.3 percent. In short, Dichev's findings are not robust.

Suggested Citation

  • Keswani, Aneel & Stolin, David, 2008. "Dollar-weighted returns to stock investors: A new look at the evidence," Finance Research Letters, Elsevier, vol. 5(4), pages 228-235, December.
    • Handle: RePEc:eee:finlet:v:5:y:2008:i:4:p:228-235
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    References listed on IDEAS

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    1. Ilia D. Dichev, 2007. "What Are Stock Investors’ Actual Historical Returns? Evidence from Dollar-Weighted Returns," American Economic Review, American Economic Association, vol. 97(1), pages 386-401, March.
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    Cited by:

    1. Jezek, M., 2009. "Passive Investors, Active Traders and Strategic Delegation of Price Discovery," Cambridge Working Papers in Economics 0951, Faculty of Economics, University of Cambridge.
    2. Ciccotello, Conrad & Greene, Jason & Ling, Leng & Rakowski, David, 2011. "Capacity and factor timing effects in active portfoliomanagement," Journal of Financial Markets, Elsevier, vol. 14(2), pages 277-300, May.
    3. Sun, Lingxia & Lee, Dong Wook, 2019. "Dollar-weighted return on aggregate corporate sector: How is it distributed across countries?," Pacific-Basin Finance Journal, Elsevier, vol. 57(C).

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