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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
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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