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New Zealand long-term equity returns and their determinants

Author

Listed:
  • Ma, Rui
  • Marshall, Ben R.
  • Nguyen, Nhut H.
  • Visaltanachoti, Nuttawat

Abstract

We document several aspects of New Zealand's long-term equity returns over the 156 years from 1867 to 2022. Remaining invested in the market has been an effective strategy. Investors with a 5-year (20-year) horizon lost money just 10% (<1%) of the time in nominal terms. Equities outperformed bonds in periods of moderate and high inflation, although bonds generated superior returns in deflationary periods. Returns over 5- and 10-year horizons can be predicted with a three-component model based on the “Buffett indicator”.

Suggested Citation

  • Ma, Rui & Marshall, Ben R. & Nguyen, Nhut H. & Visaltanachoti, Nuttawat, 2024. "New Zealand long-term equity returns and their determinants," Pacific-Basin Finance Journal, Elsevier, vol. 85(C).
    • Handle: RePEc:eee:pacfin:v:85:y:2024:i:c:s0927538x24001148
    DOI: 10.1016/j.pacfin.2024.102363
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    More about this item

    Keywords

    Long-term returns; Equity returns; Bond returns;
    All these keywords.

    JEL classification:

    • G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
    • G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates

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