What Are Stock Investors' Actual Historical Returns? Evidence from Dollar-Weighted Returns
区分了证券回报与投资者回报，发现由于资金流入流出时机和规模的影响，全球主要股市投资者的实际回报系统性低于买入持有回报，意味着历史股权溢价和权益资本成本可能低于此前认知。
The existing literature typically does not differentiate between security returns and the returns of investors in these securities. This study clarifies that investor and security returns differ because of the timing and magnitude of investor capital flows into and out of these securities. The empirical results indicate that actual investor returns are systematically lower than buy-and-hold returns for nearly all major international stock markets. These results imply that the historical equity premium and the cost of equity capital are likely lower than previously thought.