In an interesting new study, MSCI Barra takes a look at what drives stock returns over the long haul — and the results might surprise you.

In the study (click here for an HTML version; click here for a PDF version), Barra traces stock market returns to a handful of sources: inflation, dividend income, real book value growth, and price-to-book growth. Their findings, which covered the U.S., Europe, Japan, Australia, and the U.K.: In most of those areas, including the U.S., inflation has been the greatest source of equity returns over the past 35 years. The second-greatest source has been dividend income. (Japan tended to be an exception in several ways, according to the study.)

For example, using the MSCI World Index as a basis, stocks returned 11.0% from the start of 1975 through September 2009. The biggest source of those returns was inflation, which accounted for 4.2%. Dividend income accounted for 2.9%, while real book value growth came in at 2.0%.

Price to book growth contributed the least to the returns, at 1.5%, but it was far and away the most volatile factor, according to the study, which has major impacts over short-term periods.

The study also examines the expectations of future excess returns for stocks, with some interesting findings: “After the continuing expansion in the 1980s and 1990s, these expectations have stabilized at historically high levels, quickly recovering from their lows in the 2009 due to the financial crisis,” according to the study. “At the same time, differences in expectations of excess returns have shrunk significantly among the different regions. “