Reconsidering Returns

66 Pages Posted: 20 Sep 2017 Last revised: 11 May 2020

See all articles by Samuel M. Hartzmark

Samuel M. Hartzmark

University of Chicago - Booth School of Business

David H. Solomon

Boston College - Carroll School of Management

Multiple version iconThere are 2 versions of this paper

Date Written: March 12, 2019


Investors' perception of performance is biased because the relevant measure, returns, is rarely displayed. Major indices ignore dividends, inducing mechanical underperformance on ex-dividend days. Newspapers are more pessimistic on these days, consistent with mistaking the index for a return. Market betas should track returns, but track prices more than dividends, creating predictable market returns. Mutual funds receive inflows for “beating the S&P 500,” comparing the price-only index with the fund's net asset value change (also not a return). Displaying returns by default would ameliorate these issues, which arise despite high attention and little ambiguity regarding the appropriate measure.

Keywords: Returns, Behavioral Finance, Asset Pricing, Indices, Mutual Funds, Information Display

JEL Classification: G02, G11, G12, G14, N32

Suggested Citation

Hartzmark, Samuel M. and Solomon, David H., Reconsidering Returns (March 12, 2019). Available at SSRN: or

Samuel M. Hartzmark (Contact Author)

University of Chicago - Booth School of Business ( email )

5807 S. Woodlawn Avenue
Chicago, IL 60637
United States

David H. Solomon

Boston College - Carroll School of Management ( email )

140 Commonwealth Avenue
Chestnut Hill, MA 02467
United States

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