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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...
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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...
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