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Preface xi  Part One: 101 years of global investment returns 1  Chapter 1 Introduction and overview 3  1.1 Need for an international perspective 3  1.2 The historical record 5  1.3 Inside the markets 7  1.4 The equity premium 8  1.5 Sixteen countries, one world 10  Chapter 2 World markets: today and yesterday 11  2.1 The world's stock markets today 11  2.2 The world's bond markets today 14  2.3 Why stock and bond markets matter 18  2.4 The world's markets yesterday 19  2.5 The US and UK stock markets: 1900 versus 2000 23  2.6 Industry composition: 1900 versus 2000 23  2.7 Stock market concentration 28  2.8 Summary 32  Chapter 3 Measuring long-term returns 34  3.1 Good indexes and bad 34  3.2 Index design: a case study 36  3.3 Dividends, coverage, and weightings 38  3.4 Easy-data bias in international indexes 40  3.5 Measuring inflation and fixed-income returns 43  3.6 Summary 44  Chapter 4 International capital market history 45  4.1 The US record 45  4.2 The UK record 48  4.3 Stock market returns around the world 50  4.4 Equities compared with bonds and bills 51  4.5 Investment risk and the distribution of annual returns 54  4.6 Risk, diversification, and market risk 56  4.7 Risk comparisons across asset classes and countries 59  4.8 Summary 61  Chapter 5 Inflation, interest rates, and bill returns 63  5.1 Inflation in the United States and the United Kingdom 63  5.2 Inflation around the world 65  5.3 US treasury bills and real interest rates 68  5.4 Real interest rates around the world 71  5.5 Summary 72  Chapter 6 Bond returns 74  6.1 US and UK bond returns 74  6.2 Bond returns around the world 79  6.3 Bond maturity premia 81  6.4 Inflation-indexed bonds and the real term premium 84  6.5 Corporate bonds and the default risk premium 87  6.6 Summary 89  Chapter 7 Exchange rates and common-currency returns 91  7.1 Long-run exchange rate behavior 91  7.2 The international monetary system 93  7.3 Long-run purchasing power parity 95  7.4 Deviations from purchasing power parity 96  7.5 Volatility of exchange rates 98  7.6 Common-currency returns on bonds and equities 100  7.7 Summary 103  Chapter 8 International investment 105  8.1 Local market versus currency risk 105  8.2 A twentieth century world index for equities and bonds 108  8.3 Ex post benefits from holding the world index 111  8.4 Correlations between countries 114  8.5 Prospective gains from international diversification 117  8.6 Home bias and constraints on international investment 120  8.7 Summary 123  Chapter 9 Size effects and seasonality in stock returns 124  9.1 The size effect in the United States 124  9.2 The size effect in the United Kingdom 126  9.3 The size effect around the world 129  9.4 The reversal of the size premium 131  9.5 Seasonality and size 135  9.6 Summary 138  Chapter 10 Value and growth in stock returns 139  10.1 Value versus growth in the United States 139  10.2 Value and growth investing in the United Kingdom 142  10.3 The international evidence 145  10.4 Summary 148  Chapter 11 Equity dividends 149  11.1 The impact of income 149  11.2 US and UK dividend growth 152  11.3 Dividend growth around the world 154  11.4 Dividend growth, GDP growth, and real equity returns 155  11.5 Dividend yields around the world and over time 157  11.6 Disappearing dividends 158  11.7 Summary 161  Chapter 12 The equity risk premium 163  12.1 US risk premia relative to bills 163  12.2 Worldwide risk premia relative to bills 166  12.3 US risk premia relative to bonds 169  12.4 Worldwide risk premia relative to bonds 171  12.5 Summary 173  Chapter 13 The prospective risk premium 176  13.1 Why the risk premium matters 177  13.2 How big should the risk premium be? 179  13.3 Measuring the premium 181  13.4 Arithmetic and geometric premia 183  13.5 The changing consensus 185  13.6 History as a guide to the future 188  13.7 Expectations of the risk premium 190  13.8 Summary 193  Chapter 14 Implications for investors 195  14.1 Market risk in the twenty-first century 195  14.2 Inferences from other markets 199  14.3 What does the future hold? 202  14.4 Implications for individual investors 204  14.5 Implications for investment institutions 207  14.6 Summary 209  Chapter 15 Implications for companies 211  15.1 The cost of capital 211  15.2 Corporate investment decisions 215  15.3 Corporate financing decisions 217  15.4 Summary 219  Chapter 16 Conclusion 220  16.1 Long-term returns 220  16.2 Key messages 222  16.3 Conclusion 224  Part Two: Sixteen countries, one world 225  Chapter 17 Our global database 227  Chapter 18 Australia 229  Chapter 19 Belgium 234  Chapter 20 Canada 239  Chapter 21 Denmark 244  Chapter 22 France 249  Chapter 23 Germany 254  Chapter 24 Ireland 259  Chapter 25 Italy 264  Chapter 26 Japan 269  Chapter 27 The Netherlands 274  Chapter 28 South Africa 279  Chapter 29 Spain 284  Chapter 30 Sweden 289  Chapter 31 Switzerland 294  Chapter 32 United Kingdom 299  Chapter 33 United States 306  Chapter 34 World 311  References 316  About the authors 331  Index 333

1 online resource (xii, 339 pages) : illustrations (some color)

Presents a comprehensive analysis of investment returns for equities, bonds, bills, currencies and inflation, spanning sixteen countries, from the end of the nineteenth century to the beginning of the twenty-first. This book also provides evidence on the long-term equity risk premium - the reward for bearing the risk of common stocks.

Triumph of the optimists : 101 years of global investment returns