The expected return on equity capital is possibly the most important driving factor in asset allocation decisions. Yet, the long-term estimates we typically use are derived from U.S. data only. There are reasons to suspects, however, that these estimates of return on capital are subject to survivorship, as the United States is arguably the most successful capitalist system in the world; most other countries have been plagued by political upheaval, war, and financial crises. The purpose of this paper is to provide estimates of return on capital from long-term histories for world equity markets. By putting together a variety of sources, we collected a database of capital appreciation indexes for 39 markets with histories going back as back as the 1920s. Our results are striking. We find that the United States has the highest uninterrupted real rate of appreciation of all countries, at 4.3 percent annually from 1921 to 1996. For other countries, the median real appreciation rate was 0.8 percent. The high return premium obtained for U.S. equities therefore appears to be the exception rather than the rule.
Download Info
To download:
If you experience problems downloading a file, check if you have the
proper application to
view it first. Information about this may be contained
in the File-Format links below. In case of further problems read
the IDEAS help
page. Note that these files are not on the IDEAS
site. Please be patient as the files may be large.
As the access to this document is restricted, you may want to look for a different version under "Related research" (further below) or search for a different version of it.
Publisher Info
Paper provided by National Bureau of Economic Research, Inc in its series NBER Working Papers with number
7565.
Length: Date of creation: Feb 2000 Date of revision: Handle: RePEc:nbr:nberwo:7565
Note: AP Contact details of provider: Postal: National Bureau of Economic Research, 1050 Massachusetts Avenue Cambridge, MA 02138, U.S.A. Phone: 617-868-3900 Email: Web page: http://www.nber.org More information through EDIRC
For technical questions regarding this item, or to correct its listing, contact: ().
References listed on IDEAS Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
William N. Goetzmann & Philippe Jorion, 1997.
"Re-emerging Markets,"
NBER Working Papers
5906, National Bureau of Economic Research, Inc.
[Downloadable!] (restricted)
Goetzmann, William N & Jorion, Philippe, 1995.
"A Longer Look at Dividend Yields,"
Journal of Business,
University of Chicago Press, vol. 68(4), pages 483-508, October.
[Downloadable!] (restricted)
Other versions:
Cited by: (explanations, Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.)
William N. Goetzmann & Philippe Jorion, 1997.
"Re-emerging Markets,"
NBER Working Papers
5906, National Bureau of Economic Research, Inc.
[Downloadable!] (restricted)
Other versions:
Did you know? Each page is provided with a technical contact, in case something is not right with the supplied information. See under "publisher info".