Looking only at price returns, since dividend data is extremely scanty in most of the world, he and Jorion plotted average annual inflation-adjusted returns for 39 countries. A sampling is shown in the chart on page 206. For a number of countries, including Belgium, Spain, New Zealand and Italy, the number is negative. In this context the U.S. stock market is a bit of a freak, combining a long uninterrupted data series with a very positive return. No one knows for a lot of these countries, but dividends would probably be high enough to put just about all of the 39 into the positive column for real total return.
Japan is an interesting case.
During the period 1921-44, the professors calculate, stock prices in Tokyo did not keep up with inflation. During 1949-95 they raced ahead. Survivors rule Stocks beat bonds Good question. But just what happened to public holders of shares traded on the Tokyo exchange remains a mystery. Those who bought Japanese equities in late 1989, when the Nikkei was at 39,000, have lost nearly half their money after eight years.