28 Pages Posted: 24 May 2017 Last revised: 21 Nov 2017
Date Written: November 20, 2017
We use bootstrap simulations to examine the properties of long-horizon U.S. stock market returns. Distributions of continuously compounded returns converge toward normal distributions as we extend the horizon from one to 30 years, and distributions of dollar payoffs converge toward lognormal. We also show that, though largely irrelevant at short horizons, uncertainty about the expected return has a substantial impact on uncertainty about long-horizon payoffs.
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