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Abstract
Investors are often told that the long-term return on U.S. stocks is a known quantity. Few realize that virtually all such statements are based on a data set that begins in 1926, and that because stock trading in the United States is much older, this dataset excludes more than half the total trading record. Even post-1926, certain types of stocks were systematically excluded, up until very recently. This article chronicles the biases and limitations of the post-1926 CRSP-Ibbotson dataset, and explains how these biases limit what is presently known about long-term returns on U.S. stocks.
- © 2009 Pageant Media Ltd
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