We compare the relative contribution of conditional mean and conditional volatility terms in vector autoregression-exponential generalized autoregression conditional heteroskedasticity models of bivariate returns to international stock indices. Conditional mean terms are relatively unimportant...

This article argues that high historical excess returns to equity were the result of a severe ex post bias in the period from 1915 to ca 1960 because inflation surprises during this period drove a wedge between ex ante and ex post returns to bonds. Furthermore, it is shown that ex ante and ex...