Do Global Stocks Outperform US Treasury Bills?

85 Pages Posted: 9 Jul 2019

See all articles by Hendrik Bessembinder

Hendrik Bessembinder

Arizona State University

Te-Feng Chen

Hong Kong Polytechnic University

Goeun Choi

Arizona State University (ASU) - Finance Department

K.C. John Wei

Hong Kong Polytechnic University

Date Written: July 5, 2019

Abstract

We study compound returns to nearly 62,000 global common stocks during the 1990 to 2018 period, documenting that the majority, 56% of US stocks and 61% of non-US stocks, under perform one-month US Treasury bills over the full sample. Focusing on aggregate shareholder wealth creation measured in US dollars, we find that the top-performing 1.3% of firms account for the $US 44.7 trillion in global stock market wealth creation from 1990 to 2018. Outside the US, less than one percent of firms account for the $US 16.0 trillion in net wealth creation. These results highlight the practical implications of the fact that the distribution of long-run stock returns is strongly positively skewed.

Suggested Citation

Bessembinder, Hendrik (Hank) and Chen, Te-Feng and Choi, Goeun and Wei, Kuo-Chiang (John), Do Global Stocks Outperform US Treasury Bills? (July 5, 2019). Available at SSRN: https://ssrn.com/abstract=3415739 or http://dx.doi.org/10.2139/ssrn.3415739

Hendrik (Hank) Bessembinder (Contact Author)

Arizona State University ( email )

PO Box 873906
Tempe, AZ 85207
United States

Te-Feng Chen

Hong Kong Polytechnic University ( email )

Hung Hom, Kowloon
Hong Kong
+852 3400 3856 (Phone)

Goeun Choi

Arizona State University (ASU) - Finance Department ( email )

W. P. Carey School of Business
PO Box 873906
Tempe, AZ 85287-3906
United States

Kuo-Chiang (John) Wei

Hong Kong Polytechnic University ( email )

11 Yuk Choi Rd
Hung Hom
Hong Kong

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