February 16, 2010

Under the null hypothesis of a stable long-run matrix of returns, we would expect to see only random derivation around the long-run 20 year holding period returns. Looking at Figures 3a and 4a, we find that each of the holding period returns shows a similar pattern. While it is possible that random drawings could generate the two patterns reported in Figure 3a and Figure 4a, the odds are against it.

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