Using historical data from 1926 to 2002, the article shows that for investors with very long horizons,(longer than 25 years), stocks were safer in the U.S. than government bonds. For investors with shorter horizons, both stocks and bonds were exposed to substantial risks, and stocks did not...

This paper documents historical returns to equities and long-term government bonds, bond yields and inflation rates in New Zealand over the period 1931-2002. Personal tax rates on various types of investment income are also estimated. This data is used to estimate the market risk premiums in two...