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The Review of Asset Pricing Studies Vol. 8 No. 2 2018

Long-Horizon Returns

Eugene F. Fama1; Kenneth R. French2

1 Booth School of Business, University of Chicago · 2 Amos Tuck School of Business, Dartmouth College

Abstract

We use bootstrap simulations to examine the properties of long-horizon U.S. stock market returns. We document the rate at which continuously compounded market returns converge toward normal distributions as we extend the horizon from 1 month to 30 years, and the rate at which dollar payoffs converge toward lognormal. We also verify that, though largely irrelevant at short horizons, uncertainty about the expected market return has a substantial impact on uncertainty about long-horizon payoffs.

DOI
10.1093/rapstu/ray001
Volume
8
Issue
2
Pages
232-252
Language
en
Sources
crossref bibtex:phds-export.bib openalex

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