Statistical Biases and Security Rates of Return

Pao L. Cheng and M. King Deets

Journal of Financial and Quantitative Analysis, 1971, vol. 6, issue 3, 977-994

Abstract: The advent of the computer has permitted financial theorists to collect and analyze large amounts of financial data. In the field of investments some of the most important work has focused on historical rates of return in investments in common stocks. The classical study in this area is the Fisher-Lorie study [8,9] in which intern al rates of return were calculated for every security listed on the New York Stock Exchange from 1926–1965. Other studies related to the area have been complicated by Herzog [10], Fisher [6,7], Latané and Young [11], Soldofsky and Biderman [12], and Evans [3,4].

Date: 1971
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