Do Stocks Outperform Treasury Bills?

40 Pages Posted: 19 Jan 2017 Last revised: 19 Feb 2017

Hendrik Bessembinder

Arizona State University

Date Written: February 18, 2017


Most common stocks do not outperform Treasury Bills. Fifty eight percent of common stocks have holding period returns less than those on one-month Treasuries over their full lifetimes on CRSP. When stated in terms of lifetime dollar wealth creation, the entire gain in the U.S. stock market since 1926 is attributable to the best-performing four percent of listed stocks. These results highlight the important role of positive skewness in the cross-sectional distribution of stock returns. The skewness in long-horizon returns reflects both that monthly returns are positively skewed and the fact that compounding returns over multiple periods itself induces positive skewness. The results also help to explain why active strategies, which tend to be poorly diversified, most often underperform.

Keywords: Long horizon returns, return skewness, stock market wealth creation

Suggested Citation

Bessembinder, Hendrik, Do Stocks Outperform Treasury Bills? (February 18, 2017). Available at SSRN:

Hendrik (Hank) Bessembinder (Contact Author)

Arizona State University ( email )

PO Box 873906
Tempe, AZ 85207
United States

Paper statistics

Abstract Views