Published in:Chicago Booth Research Paper ; No. 17-17
Extent:
1 Online-Ressource (28 p)
Language:
English
DOI:
10.2139/ssrn.2973516
Identifier:
Origination:
Footnote:
Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments November 20, 2017 erstellt
Description:
We use bootstrap simulations to examine the properties of long-horizon U.S. stock market returns. Distributions of continuously compounded returns converge toward normal distributions as we extend the horizon from one to 30 years, and distributions of dollar payoffs converge toward lognormal. We also show that, though largely irrelevant at short horizons, uncertainty about the expected return has a substantial impact on uncertainty about long-horizon payoffs