The Long-Term Risks of Global Stock Markets
用三十个国家的长期数据检验投资风险是否随时间拉长而降低，发现没有均值回归证据，下行风险不随期限延长而减少，但全球分散投资能显著降低风险。
This research investigates the persistence of investment risk across time horizon, a crucial issue in asset allocation decisions. Previous empirical results have focused mainly on US data and suffer from limited sample size in the analysis of long-horizon returns. Investigation of a longterm sample of thirty countries provides additional empirical evidence. The results are not reassuring. There is no evidence of long-term mean reversion in the expanded data sample. Downside risk is not reduced as the horizon lengthens. On the positive side, a globally diversified portfolio would have displayed much less downside risk than any single market.