Our guest this week is Dr. Hendrik Bessembinder. Hank is the professor in Francis J. and Mary B. Labriola Chair in Competitive Business at Arizona State University’s Department of Finance. Prof. Bessembinder’s research focuses on market design and trading, including stock, foreign exchange, fixed income, futures, and energy markets, as well as on measuring long-term investment performance. He’s published numerous articles in the Journal of Finance, Journal of Financial Economics, and Review of Financial Studies, among others.

In today’s conversation, we’ll focus on the most widely cited and influential of Prof. Bessembinder’s papers, which is entitled, Do Stocks Outperform Treasury Bills? The paper’s key findings could have implications for stock investors of all stripes. So, we were excited to talk to Hank and dig into his work. You can find this paper and other follow-on work that Hank has done on SSRN and we’ll link to it in the show notes.

Background

Research

“Do Stocks Outperform Treasury Bills?” by Hendrik Bessembinder, ssrn.com, June 3, 2018.

“Wealth Creation in the US Public Stock Markets 1926 to 2019,” by Hendrik Bessembinder, ssrn.com, Feb. 13, 2020.

“Which US Stocks Generated the Highest Long-Term Returns,” by Hendrik Bessembinder, ssrn.com, July 22, 2024.

“Long-Horizon Stock Returns Are Positively Skewed,” by Adam Farago and Erik Hjalmarsson, Review of Finance, April 6, 2022.

“Why Has IPO Underpricing Changed Over Time?” by Tim Loughran and Jay Ritter, Financial Management Journal, Autumn 2004.

“Long-Run Stock Market Returns: Probabilities of Big Gains and Post-Event Returns,” by Hendrik Bessembinder, ssrn.com, Dec. 27, 2021.

“Extreme Stock Market Performers, Part I: Expect Some Drawdowns,” by Hendrik Bessembinder, ssrn.com, July 21, 2020.

“Shareholder Wealth Enhancement, 1926 to 2022,” by Hendrik Bessembinder, ssrn.com, June 17, 2023.

“Long-Term Shareholder Returns: Evidence From 64,000 Global Stocks,” by Hendrik Bessembinder, Te-Feng Chen, Goeun Choi, and K.C. John Wei, ssrn.com, March 6, 2023.

“Predictable Corporate Distributions and Stock Returns,” by Hendrik Bessembinder, ssrn.com, Nov. 24, 2014.

Other

Center for Research in Security Prices (CRSP)

“What Is Jensen’s Measure (Alpha), and How Is It Calculated?” by James Chen, Investopedia.com, July 1, 2024.

Hendrik Bessembinder: ‘Do Stocks Outperform Treasury Bills?’

The Long View

Hendrik Bessembinder: ‘Do Stocks Outperform Treasury Bills?’