This article considers the potential statistical problems resulting from the use of averaged rather than end-of-period data in financial research. Averaged data are widely employed throughout the literature without explicit recognition that the use of such data results in biased estimates of the...

We develop a simple measure of volatility based on extreme-day returns and apply it to market returns from 1885 to 2002. Because returns are not normally distributed, the extreme-day measure, which is distribution free, might provide a better measure of stock market risk than the traditional...

Using different inflation measures produces economically significant differences in both the inflation record and inflation-adjusted stock returns. We introduce a more consistent measure of the monthly Consumer Price Index (CPI) inflation rate to better measure real returns over 1913-2004, for...