Hostname: page-component-84b7d79bbc-4hvwz Total loading time: 0 Render date: 2024-07-26T10:27:33.766Z Has data issue: false hasContentIssue false
  • English
  • Français

Statistical Biases and Security Rates of Return

Published online by Cambridge University Press:  19 October 2009

Pao L. Cheng  and
M. King Deets
Get access Rights & Permissions [Opens in a new window]

Extract

The advent of the computer has permitted financial theorists to collect and analyze large amounts of financial data. In the field of investments some of the most important work has focused on historical rates of return in investments in common stocks. The classical study in this area is the Fisher-Lorie study [8,9] in which intern al rates of return were calculated for every security listed on the New York Stock Exchange from 1926–1965. Other studies related to the area have been complicated by Herzog [10], Fisher [6,7], Latané and Young [11], Soldofsky and Biderman [12], and Evans [3,4].

Type
Research Article
Information
Journal of Financial and Quantitative Analysis , Volume 6 , Issue 3 , June 1971 , pp. 977 - 994
Copyright
Copyright © School of Business Administration, University of Washington 1971

Access options

Get access to the full version of this content by using one of the access options below. (Log in options will check for institutional or personal access. Content may require purchase if you do not have access.)

References

[1]Aitchison, J., and Brown, J.A.C.. The Lognormal distribution. Cambridge: Cambridge University Press, 1966.Google Scholar
[2]Ben-Shahar, H., and Sarnat, M.. “Reinvestment and the Rate of Return on Common Stocks.” Journal of Finance, XXI, 4, pp. 737–748.Google Scholar
[3]Evans, J. L. “The Random Walk Hypothesis, Portfolio Analysis and the Buy-and-Hold Criterion.” Journal of Financial and Quantitative Analysis, III, September 1968, pp. 327–342.CrossRefGoogle Scholar
[4]Evans, J. L. “An Analysis of Portfolio Maintenance Strategies.” Forthcoming in the Journal of Finance.Google Scholar
[5]Feller, William. An Introduction to Probability Theory and Its Applications, Vol. II: New York: John Wiley & Sons, 1966, p. 151.Google Scholar
[6]Fisher, Lawrence. “Outcomes for ‘Random’ Investments in Common Stocks Listed on the New York Stock Exchange.” Journal of Business, XXXVIII, 2, April 1965, pp. 149–161.CrossRefGoogle Scholar
[7]Fisher, Lawrence. “Some New Stock-Market Indexes.” Journal of Business, XXXIX, No. 1, Part II, January 1966, pp. 191–225.CrossRefGoogle Scholar
[8]Fisher, L., and Lorie, J.H.. “Rates of Return on Investments in Common Stocks” Journal of Business, XXXVII, 1, January 1964, pp. 1–21.Google Scholar
[9]Fisher, L. and Lorie, J.H. “Rates of Return on Investments in Common Stock: The Year-by-Year Record, 1926–65.” Journal of Business, XLI, 3, July 1968, pp.291–316.CrossRefGoogle Scholar
[10]Herzog, John P.; “Investor Experience in Corporate Securities: A New Technique for Measurement” Journal of Finance, XIX, 1, March 1964, pp.46–62.Google Scholar
[11]Latané, H.A., and Young, W.E.. “Test of Portfolio Building Rules” Journal of Finance, XXIV, 4, September 1969, pp. 595–612.CrossRefGoogle Scholar
[12]Soldofsky, R., and Biderman, R.. “Yield-Risk Measurement of the Performance of Common Stocks” Journal of Financial and Quantitative Analysis, III, 1, March 1968, pp. 59–74.CrossRefGoogle Scholar