TY  - JOUR
AU  - Goetzmann,William N.
AU  - Jorion,Philippe
TI  - A Century of Global Stock Markets
JF  - National Bureau of Economic Research Working Paper Series
VL  - No. 5901
PY  - 1997
Y2  - January 1997
UR  - http://www.nber.org/papers/w5901
L1  - http://www.nber.org/papers/w5901.pdf
N1  - Author contact info:
William N. Goetzmann
School of Management
Yale University
Box 208200
New Haven, CT 06520-8200
Tel: 203/432-5950
Fax: 203/432-3003
E-Mail: william.goetzmann@yale.edu

Philippe Jorion
University of California, Irvine
Department of Finance
Graduate School of Management
Irvine, CA  92697
E-Mail: pjorion@gsm.uci.edu
M2  - featured in NBER digest on 1997-07-01
AB  - The expected return on equity capital is possibly the most important driving factor in asset allocation decisions.  Yet, the long-term estimates we typically use are derived from U.S. data only.  There are reasons to suspect, however, that these estimates of return on capital are subject to survivorship, as the United States is arguably the most successful capitalist system in the world; most other countries have been plagued by political upheaval, war, and financial crises. The purpose of this paper is to provide estimates of return on capital from long-term histories for world equity markets.  By putting together a variety of sources, we collected a database of capital appreciation indexes for 39 markets with histories going as far back as the 1920s. Our results are striking.  We find that the United States has by far the highest uninterrupted real rate of appreciation of all countries, at about 5 percent annually.  For other countries, the median real appreciation rate is about 1.5 percent.  The high return premium obtained for U.S. equities therefore appears to be the exception rather than the rule. Our global database also allows us to reconstruct monthly real and dollar-valued capital appreciation indices for global markets, providing further evidence of the benefits of international diversification.
ER  -