Long-Run Asset Returns

Abstract

The literature on long-run asset returns has continued to grow steadily, particularly since the start of the new millennium. We survey this expanding body of evidence on historical return premia across the major asset classes-stocks, bonds, and real assets-over the very long run. In addition, we discuss the benefits and pitfalls of these long-run data sets and make suggestions on best practice in compiling and using such data. We report the magnitude of these risk premia over the current and previous two centuries, and we compare estimates from alternative data compilers. We conclude by proposing some promising directions for future research.

Keywords: Asset pricing, historical returns, stock market index, investment management, risk premium, stocks, bonds, real estate

JEL Classification: G11, G12, G38, G32, N20