Biases in Arithmetic and Geometric Averages as Estimates of Long-Run Expected Returns and Risk Premia
发现，由于长期股票收益存在均值回归，用过去收益的算术平均或几何平均来估计长期风险溢价和预期收益会产生偏差。
In considering a long-term investment in a common stock, an investor wants an estimate of the stock's long-run risk premia (and thus the long-run expected returns). Similarly, in evaluating a capital investment project, a firm seeks a reliable estimate of the required return on the proposed project. Given the empirical evidence of mean reversion in long-horizon common stock returns, we find that sample estimates based on the arithmetic or geometric averages of the past returns are biased.