Does the famous idiom “stocks for the long run” have an empirical or a theoretical foundation? Bali et al. (2009) show that the cumulative return distributions of stocks and bonds intersect for all investment horizons, implying that stocks do not dominate bonds, regardless of the horizon. This paper shows that adding the riskless asset to the analysis yields a clear-cut dominance of stocks over bonds: for any combination of bonds with the riskless asset, one can find a combination of stocks with the riskless asset that dominates it. This dominance holds for all non-decreasing preferences as long as the investment horizon is 3 years or longer. However, this strong result does not imply that arbitrage opportunities exist.

著名的成语“长期股票”有经验或理论基础吗？巴厘岛等。(2009) 表明股票和债券的累积回报分布在所有投资范围内都相交，这意味着无论投资范围如何，股票都不会主导债券。本文表明，将无风险资产添加到分析中会产生股票明显优于债券的优势：对于债券与无风险资产的任何组合，人们都可以找到股票与占主导地位的无风险资产的组合。只要投资期限为 3 年或更长时间，这种优势就适用于所有非递减偏好。然而，这种强劲的结果并不意味着存在套利机会。