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 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...