Do all stocks fail to outperform treasury bills? : an inquiry into the return distributions of individual stocks in United Kingdom, Japan, Germany, France, Italy and Sweden
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- Master Thesis 
Inthispaper, weinvestigatethedistributionofindividualstockreturnsinUnited Kingdom, Japan, Germany, France, Italy and Sweden from 1986 to 2017. Specifically, our results highlight the strong presence of positive skewness in the return distributions. Consequently, the majority of stocks fail to generate buy-and-hold returns superior to the matching one-month Treasury bills over their lifetime (or sample period). The only exceptions are Japan and France, where slightly more than half of the stocks yield positive excess return. Measured in wealth creation, only a fraction of companies constitute the total net wealth created in the market. The numbers range from 0.5% in Italy to 10.9% in Sweden, whereas the remaining stocks in aggregate have produced returns equal to the Treasury bills. Thus, it is evident that stock markets are highly concentrated, where contributions from the minority of stocks more than make up for the poor performance by the majority. The results provide evidence to why most undiversiﬁed funds underperform against market-wide benchmark portfolios.