Dollar-weighted returns to stock investors: A new look at the evidence

Aneel Keswani and David Stolin

Finance Research Letters, 2008, vol. 5, issue 4, 228-235

Abstract: Dichev [2007. American Economic Review 97, 386-401], in an influential paper, examines the gap between the performance of major stock markets and the dollar-weighted performance of investors in these markets. He finds a significant gap of 1.3 percent per year for NYSE/AMEX and 1.5 percent internationally. We question these results. The NYSE/AMEX performance gap is actually negative in the last two thirds of Dichev's 1926-2002 period, while his international results are influenced by a dramatic increase in Datastream's coverage. When, instead of Datastream, we use a comprehensive share price database, the UK performance gap changes from 1.1 to -1.3 percent. In short, Dichev's findings are not robust.

Keywords: Stock; market; Dollar-weighted; returns (search for similar items in EconPapers)
Date: 2008
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Citations: View citations in EconPapers (3)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:finlet:v:5:y:2008:i:4:p:228-235

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