The Journal of Portfolio Management · 2001 · 46 citations · 4 references
BusinessEconomicsFinanceFinancial EconomicsInvestment ManagementQuantitative FinanceCapital MarketsFinancial RiskInvestmentInvestment TheoryPortfolio Risk ManagementRisk-return AnalysisCross-sectional EstimationData ResamplingHolding Period EffectsInvestment Holding Period AnalysisInvestment Risk AssessmentLifecycle InvestingMeasurement Of Relative PerformanceRelative Performance Analysis
This article examines the relative performance of bills, bonds, and stocks over various holding periods. Using a resampling technique that accounts for the cross–sectional correlation between security classes, the authors find that the risk of underperformance for a strategy of investing in higher risk classes of investments is minimal over long holding periods, while the rewards are substantial.
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The Long-Term Case for Equities
Paul A. Samuelson · The Journal of Portfolio Management · 1994 · 213 citations
The Time-Diversification Controversy
Steven Thorley · Financial Analysts Journal · 1995 · 114 citations