Dollar-Weighted Returns to Stock Investors: A New Look at the Evidence

Posted: 15 Dec 2008

See all articles by Aneel Keswani

Aneel Keswani

Faculty of Finance, Cass Business School, City University, London

David Stolin

Toulouse Business School - Economics and Finance

Multiple version iconThere are 2 versions of this paper

Date Written: December 1, 2008

Abstract

Dichev [2007. American Economic Review 97, 386-401], in an influential paper, examines the gap between the performance of major stock markets and the dollar-weighted performance of investors in these markets. He finds a significant gap of 1.3 percent per year for NYSE/AMEX and 1.5 percent internationally. We question these results. The NYSE/AMEX performance gap is actually negative in the last two thirds of Dichev's 1926-2002 period, while his international results are influenced by a dramatic increase in Datastream's coverage. When, instead of Datastream, we use a comprehensive share price database, the UK performance gap changes from 1.1 to -1.3 percent. In short, Dichev's findings are not robust.

Keywords: Stock market, Dollar-weighted returns

JEL Classification: G10, G11, G12, G15

Suggested Citation

Keswani, Aneel and Stolin, David, Dollar-Weighted Returns to Stock Investors: A New Look at the Evidence (December 1, 2008). Finance Research Letters, Vol. 5, No. 4, 2008. Available at SSRN: https://ssrn.com/abstract=1315756

Aneel Keswani (Contact Author)

Faculty of Finance, Cass Business School, City University, London ( email )

106 Bunhill Row
London EC1Y 8TZ
Great Britain
+44 207 040 8763 (Phone)

David Stolin

Toulouse Business School - Economics and Finance ( email )

20, bd Lascrosses - BP 7010
Toulouse Cedex 7, 31068
France

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