| Abstract: | The study attempts to examine previously unexplored long-run stock price behaviours, focusing on the convergence of stock returns over extended periods and the relationship between earnings fluctuations and stock prices. Using data from 2006 to 2024 across major indices in India, Japan, the UK, the USA, and the Eurozone, the paper analyses “running returns” and “holding period returns.” It finds that long-term holding returns provide a more stable measure of performance compared to short-term running returns, with significant convergence of returns and a very clear link between earnings growth and price appreciation over longer durations. The paper challenges traditional financial theories like CAPM and the Efficient Market Hypothesis, advocating for the inclusion of these long-term trends in investment strategies and theoretical finance. Documenting these long-term trends, the study enriches our understanding of stock market behaviour over longer periods and offers insights that could impact both theoretical finance and practical investment strategies. The research gives insights for the integration of these long-term empirical regularities into decision-making frameworks for investors. |
