Do stocks outperform Treasury bills?

Abstract

This thesis highlights the important role of positively skewed short horizon stock returns, and the effect of compounding on the long-term return distribution. I show that the majority of individual common stocks deliver a lifetime buy-and-hold return less than the accumulated one-month Treasury bill rate over matched horizons, and that they often are negative - the results help explain why poorly diversified active strategies often will underperform market averages.