Do Stocks Outperform Treasury Bills? | Bessembinder

Hendrik Bessembinder (Arizona); Do Stocks Outperform Treasury Bills? ssrn:2900447; 2017-01-19 → 2017-08-23; 51 pages.

tl;dr → No. Betteridge’s Law.


Fifty eight percent of CRSP common stocks have lifetime holding period returns less than those on one-month Treasuries. The modal lifetime return is -100%. When stated in terms of lifetime dollar wealth creation, the entire net gain in the U.S. stock market since 1926 is attributable to the best-performing four percent of listed stocks, as the other ninety six percent collectively matched one-month Treasury bills. These results highlight the important role of positive skewness in the cross-sectional distribution of stock returns. The skewness arises both because monthly returns are positively skewed and because compounding returns induces skewness. The results help to explain why active strategies, which tend to be poorly diversified, most often underperform.


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