Long-Run Stock Return Distributions: Empirical Inference and Uncertainty

Andreas Dzemski (), Adam Farago (), Erik Hjalmarsson () and Tamas Kiss ()
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Andreas Dzemski: Department of Economics, School of Business, Economics and Law, Göteborg University, Postal: P.O. Box 640, SE 40530 GÖTEBORG, Sweden, https://www.gu.se/handelshogskolan/nationalekonomi-statistik
Adam Farago: Department of Economics, School of Business, Economics and Law, Göteborg University, Postal: P.O. Box 640, SE 40530 GÖTEBORG, Sweden, https://www.gu.se/handelshogskolan/nationalekonomi-statistik
Erik Hjalmarsson: Department of Economics, School of Business, Economics and Law, Göteborg University, Postal: P.O. Box 640, SE 40530 GÖTEBORG, Sweden, https://www.gu.se/handelshogskolan/nationalekonomi-statistik
Tamas Kiss: The School of Business, Örebro University, Sweden

No 853, Working Papers in Economics from University of Gothenburg, Department of Economics

Abstract: We analyze empirical estimation of the distribution of total payoffs for stock investments over very long horizons, such as 30 years. Formal results for recently proposed bootstrap estimators are derived and alternative parametric methods are proposed. All estimators should be viewed as inconsistent for longer investment horizons. Valid confidence bands are derived and should be the focus when performing inference. Empirically, confidence bands around long-run distributions are very wide and point estimates must be interpreted with great caution. Consequently, it is difficult to distinguish long-run aggregate return distributions across countries; long-run U.S. returns are not significantly different from global returns.

Keywords: Estimation uncertainty; Long-run stock returns; Quantile estimation (search for similar items in EconPapers)
JEL-codes: C58 G10 (search for similar items in EconPapers)
Pages: 121 pages
Date: 2025-04-28
New Economics Papers: this item is included in nep-fdg, nep-fmk, nep-mac, nep-res and nep-rmg
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