You are not currently logged in.
Access your personal account or get JSTOR access through your library or other institution:
Unbiased Estimators of Long-Run Expected Rates of Return
Marshall E. Blume
Journal of the American Statistical Association
Vol. 69, No. 347 (Sep., 1974), pp. 634-638
Stable URL: http://www.jstor.org/stable/2285993
Page Count: 5
Preview not available
This article documents the biases in using sample arithmetic or geometric means of one-period returns to assess long-run expected rates of return. The formulas developed are applicable to other compound growth processes. For types of distributions of one-period returns likely to be encountered for bonds and stocks, numerical values for these biases are given. Four unbiased estimators of long-run expected rates of return are developed and their relative efficiency examined.
Journal of the American Statistical Association © 1974 American Statistical Association