Long-Horizon Returns
使用自助法模拟研究美国股票市场长期回报的性质，包括回报分布向正态收敛的速度以及预期回报不确定性对长期收益的影响。
We use bootstrap simulations to examine the properties of long-horizon U.S. stock market returns. We document the rate at which continuously compounded market returns converge toward normal distributions as we extend the horizon from 1 month to 30 years, and the rate at which dollar payoffs converge toward lognormal. We also verify that, though largely irrelevant at short horizons, uncertainty about the expected market return has a substantial impact on uncertainty about long-horizon payoffs. Received date May 18, 2017; Accepted date December 26, 2017 By Editor Raman Uppal