Here's an abstract you won't read every day:
Abstract: Most common stocks do not outperform Treasury Bills. Fifty eight percent of common stocks have holding period returns less than those on one-month Treasuries over their full lifetimes on CRSP.
The author is aware that the proposition doesn't make sense at first sight:
The question posed in the title of this paper may seem nonsensical. The fact that stock markets provide long term returns that exceed the returns provided by low risk investments such as government obligations has been extensively documented, for the U.S. stock market as well as for many other countries.
In fact, the degree to which stock markets outperform low risk
investments is so large that the magnitude of the observed stock market return premium is widely referred to as the "equity premium puzzle."
In this paper, I document that most common stocks provide returns that fall short of those earned on one-month Treasury Bills.
I rely on the CRSP monthly stock return database, which contains all common stocks listed on the NYSE, Amex, and NASDAQ exchanges. Of all monthly common stock returns contained in
the CRSP database from 1926 to 2015, only 47.7% are larger than the one-month Treasury rate.
Read the paper for yourself in case you are interested: