内容

目次

Preface xi Part One: 101 years of global investment returns 1 Chapter1 Introduction and overview 3 1.1 Need for an international perspective 31.2 The historical record 5 1.3 Inside the markets 7 1.4 The equity premium8 1.5 Sixteen countries, one world 10 Chapter 2 World markets: today andyesterday 11 2.1 The world's stock markets today 11 2.2 The world's bondmarkets today 14 2.3 Why stock and bond markets matter 18 2.4 The world'smarkets yesterday 19 2.5 The US and UK stock markets: 1900 versus 2000 232.6 Industry composition: 1900 versus 2000 23 2.7 Stock market concentration28 2.8 Summary 32 Chapter 3 Measuring long-term returns 34 3.1 Goodindexes and bad 34 3.2 Index design: a case study 36 3.3 Dividends,coverage, and weightings 38 3.4 Easy-data bias in international indexes 403.5 Measuring inflation and fixed-income returns 43 3.6 Summary 44 Chapter4 International capital market history 45 4.1 The US record 45 4.2 The UKrecord 48 4.3 Stock market returns around the world 50 4.4 Equitiescompared with bonds and bills 51 4.5 Investment risk and the distribution ofannual returns 54 4.6 Risk, diversification, and market risk 56 4.7 Riskcomparisons across asset classes and countries 59 4.8 Summary 61 Chapter 5Inflation, interest rates, and bill returns 63 5.1 Inflation in the UnitedStates and the United Kingdom 63 5.2 Inflation around the world 65 5.3 UStreasury bills and real interest rates 68 5.4 Real interest rates around theworld 71 5.5 Summary 72 Chapter 6 Bond returns 74 6.1 US and UK bondreturns 74 6.2 Bond returns around the world 79 6.3 Bond maturity premia 816.4 Inflation-indexed bonds and the real term premium 84 6.5 Corporatebonds and the default risk premium 87 6.6 Summary 89 Chapter 7 Exchangerates and common-currency returns 91 7.1 Long-run exchange rate behavior 917.2 The international monetary system 93 7.3 Long-run purchasing powerparity 95 7.4 Deviations from purchasing power parity 96 7.5 Volatility ofexchange rates 98 7.6 Common-currency returns on bonds and equities 100 7.7Summary 103 Chapter 8 International investment 105 8.1 Local market versuscurrency risk 105 8.2 A twentieth century world index for equities and bonds108 8.3 Ex post benefits from holding the world index 111 8.4 Correlationsbetween countries 114 8.5 Prospective gains from internationaldiversification 117 8.6 Home bias and constraints on internationalinvestment 120 8.7 Summary 123 Chapter 9 Size effects and seasonality instock returns 124 9.1 The size effect in the United States 124 9.2 The sizeeffect in the United Kingdom 126 9.3 The size effect around the world 1299.4 The reversal of the size premium 131 9.5 Seasonality and size 135 9.6Summary 138 Chapter 10 Value and growth in stock returns 139 10.1 Valueversus growth in the United States 139 10.2 Value and growth investing inthe United Kingdom 142 10.3 The international evidence 145 10.4 Summary 148Chapter 11 Equity dividends 149 11.1 The impact of income 149 11.2 US andUK dividend growth 152 11.3 Dividend growth around the world 154 11.4Dividend growth, GDP growth, and real equity returns 155 11.5 Dividendyields around the world and over time 157 11.6 Disappearing dividends 15811.7 Summary 161 Chapter 12 The equity risk premium 163 12.1 US risk premiarelative to bills 163 12.2 Worldwide risk premia relative to bills 166 12.3US risk premia relative to bonds 169 12.4 Worldwide risk premia relative tobonds 171 12.5 Summary 173 Chapter 13 The prospective risk premium 17613.1 Why the risk premium matters 177 13.2 How big should the risk premiumbe? 179 13.3 Measuring the premium 181 13.4 Arithmetic and geometric premia183 13.5 The changing consensus 185 13.6 History as a guide to the future188 13.7 Expectations of the risk premium 190 13.8 Summary 193 Chapter 14Implications for investors 195 14.1 Market risk in the twenty-first century195 14.2 Inferences from other markets 199 14.3 What does the future hold?202 14.4 Implications for individual investors 204 14.5 Implications forinvestment institutions 207 14.6 Summary 209 Chapter 15 Implications forcompanies 211 15.1 The cost of capital 211 15.2 Corporate investmentdecisions 215 15.3 Corporate financing decisions 217 15.4 Summary 219Chapter 16 Conclusion 220 16.1 Long-term returns 220 16.2 Key messages 22216.3 Conclusion 224 Part Two: Sixteen countries, one world 225 Chapter 17Our global database 227 Chapter 18 Australia 229 Chapter 19 Belgium 234Chapter 20 Canada 239 Chapter 21 Denmark 244 Chapter 22 France 249 Chapter23 Germany 254 Chapter 24 Ireland 259 Chapter 25 Italy 264 Chapter 26Japan 269 Chapter 27 The Netherlands 274 Chapter 28 South Africa 279Chapter 29 Spain 284 Chapter 30 Sweden 289 Chapter 31 Switzerland 294Chapter 32 United Kingdom 299 Chapter 33 United States 306 Chapter 34 World311 References 316 About the authors 331 Index 333