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Replication data for: What Are Stock Investors’ Actual Historical Returns? Evidence from Dollar-Weighted Returns

Version
V0
Resource Type
Dataset
Creator
  • Dichev, Ilia D.
Publication Date
2007-03-01
Description
  • Abstract

    The existing literature typically does not differentiate between security returns and the returns of investors in these securities. This study clarifies that investor and security returns differ because of the timing and magnitude of investor capital flows into and out of these securities. The empirical results indicate that actual investor returns are systematically lower than buy-and-hold returns for nearly all major international stock markets. These results imply that the historical equity premium and the cost of equity capital are likely lower than previously thought. (JEL G11, G12, G15)
Availability
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Relations
  • Is supplement to
    DOI: 10.1257/aer.97.1.386 (Text)
Publications
  • Dichev, Ilia D. “What Are Stock Investors’ Actual Historical Returns? Evidence from Dollar-Weighted Returns.” American Economic Review 97, no. 1 (February 2007): 386–401. https://doi.org/10.1257/aer.97.1.386.
    • ID: 10.1257/aer.97.1.386 (DOI)

Update Metadata: 2020-05-18 | Issue Number: 3 | Registration Date: 2019-12-07

Dichev, Ilia D. (2007): Replication data for: What Are Stock Investors’ Actual Historical Returns? Evidence from Dollar-Weighted Returns. Version: V0. ICPSR - Interuniversity Consortium for Political and Social Research. Dataset. https://doi.org/10.3886/E116262