Global Stock Markets in the Twentieth Century


  • Philippe Jorion,

    1. University of California, Irvine
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  • William N. Goetzmann

    1. Yale School of Management
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    • *Jorion is with the University of California at Irvine; Goetzmann is with the Yale School of Management. We thank seminar participants at the University of California at Los Angeles, Carnegie-Mellon, Indiana University, the London Business School, the Stockholm School of Economics, the University of Houston, the University of Michigan, the University of Notre Dame, the University of Southern California, the 1997 European Finance Association meetings, and the 1997 Western Finance Association meetings for useful comments. The referee and the editor, Rene Stulz, also provided valuable comments. Able research support was provided by Robin Brooks. George Bittlingmayer kindly provided a copy of the German data. This research received financial support from the Institute for Quantitative Research in Finance, for which we are grateful.


Long-term estimates of expected return on equities are typically derived from U.S. data only. There are reasons to suspect that these estimates are subject to survivorship, as the United States is arguably the most successful capitalist system in the world. We collect a database of capital appreciation indexes for 39 markets going back to the 1920s. For 1921 to 1996, U.S. equities had the highest real return of all countries, at 4.3 percent, versus a median of 0.8 percent for other countries. The high equity premium obtained for U.S. equities appears to be the exception rather than the rule.