This paper uses the supply side approach developed by Ibbotson and Chen to analyze average stock returns for the period 1926-2004. Using the quot;earningsquot; model variation, it is easy to see how each component, including real earnings growth and the P/E ratio, contributed to the average...

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

We develop a simple measure of volatility based on extreme-day returns and apply it to market returns during 1885 - 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...

This article examines the changing nature of U.S. stock and bond risk from 1871 through 2000 and the implications for asset allocation. Using geometric means and standard deviations, we examine nominal and inflation-adjusted monthly returns over nonoverlapping 5-year periods, as well as annual...