Long-horizon asset and portfolio returns revisited: Evidence from US markets

Long-horizon asset and portfolio returns revisited: Evidence from US markets

AbstractThis study revisits the widely used assumptions in long-term asset allocation: the normal distribution of long-horizon returns and the negligible impacts of estimation errors on the expected returns. This study uses the innovative simulation method of Fama and French (2018) for horizons of u...

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Bibliographic Details
Main Author: Tri M. Hoang
Format: Article
Language:English
Published: Taylor & Francis Group 2023-12-01
Series:Cogent Business & Management
Subjects:
central limit theorem
normal distribution
uncertainty about the expected return
bootstrap simulation
long-run investment
G11
Online Access:https://www.tandfonline.com/doi/10.1080/23311975.2023.2238147

Internet

https://www.tandfonline.com/doi/10.1080/23311975.2023.2238147

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