The Equity Risk Premium
Essays and Explorations
1st Edition
Published on 16. November 2006
568 pages
978-0-19-803377-6 (ISBN)
Description
What is the return to investing in the stock market? Can we predict future stock market returns? How have equities performed over the last two centuries? The authors in this volume are among the leading researchers in the study of these questions. This book draws upon their research on the stock market over the past two dozen years. It contains their major research articles on the equity risk premium and new contributions on measuring, forecasting, and timing stock market returns, together with new interpretive essays that explore critical issues and new research on the topic of stock market investing.
This book is aimed at all readers interested in understanding the empirical basis for the equity risk premium. Through the analysis and interpretation of two scholars whose research contributions have been key factors in the modern debate over stock market perfomance, this volume engages the reader in many of the key issues of importance to investors. How large is the premium? Is history a reliable guide to predict future equity returns? Does the equity and cash flows of the market? Are global equity markets different from those in the United States? Do emerging markets offer higher or lower equity risk premia? The authors use the historical performance of the world's stock markets to address these issues.
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Persons
Robert Ibbotson is an expert on capital market returns, cost of capital, and international investing. A member of the Yale School of Management faculty since 1986, he joined Yale from the University of Chicago, where he served as the director of the Center for Research in Security Prices (CRSP). He is Chairman and Founder of Ibbotson Associates in Chicago, New York, and Tokyo, which provides asset allocation advice, consulting, software, data, and financial publishing for financial institutions and investment advisors. He is also a Partner in Zebra Capital Management, LLC, which manages hedge funds. Professor Ibbotson is the author of numerous books and articles, including the annual Stocks, Bonds, Bills, and Inflation Yearbook.
Will Goetzmann is the Edwin J. Beinecke Professor of Finance and Management Studies at the Yale School of Management and a Research Associate of the National Bureau of Economic Research. He currently serves as the Director of the International Center for Finance at Yale, an interdisciplinary research organization focused on sponsoring and diseminating academic research in finance. He has taught at the Yale School of Management since 1994 and previously taught at Columbia Business School. He holds a B.A., an M.B.A., and a Ph.D. from Yale. An expert on a diverse range of investments, Will Goetzmann's research topics include the behavior of individual investors, global investing, financial market history, hedge funds, mutual funds, real estate, and art as an investment.
Content
- Intro
- Contents
- Contributors
- Introduction: Opening Remarks and Motivation
- Part I: The Lessons of History
- 1 History and the Equity Risk Premium
- 2 Stocks, Bonds, Bills, and Inflation: Year-by-Year Historical Returns (1926-1974)
- 3 A New Historical Database for the NYSE 1815 to 1925: Performance and Predictability
- 4 The United States Market Wealth Portfolio
- 5 World Wealth: U.S. and Foreign Market Values and Returns
- Part II: Demand, Supply, and Building Block Forecasting Methods
- 6 How to Forecast Long-Run Asset Returns
- 7 The Demand for Capital Market Returns: A New Equilibrium Theory
- 8 The Supply of Capital Market Returns
- 9 Building the Future from the Past
- 10 Long-Run Stock Returns: Participating in the Real Economy
- Part III: Simulating and Forecasting
- 11 Stocks, Bonds, Bills, and Inflation: Simulations of the Future (1976-2000)
- 12 Predictions of the Past and Forecasts for the Future: 1976-2025
- 13 Short-Horizon Inputs and Long-Horizon Portfolio Choice
- Part IV: Survivorship and Selection Bias
- 14 Survival
- 15 Survivorship Bias in Performance Studies
- 16 Global Stock Markets in the 20th Century
- 17 Re-Emerging Markets
- Part V: Predicting Variations
- 18 The Dow Theory: William Peter Hamilton's Track Record Reconsidered
- 19 Patterns in Three Centuries of Stock Market Prices
- 20 Bootstrapping Tests of Long-Term Stock Market Efficiency
- 21 Testing the Predictive Power of Dividend Yields
- 22 A Longer Look at Dividend Yields
- 23 Does Asset Allocation Policy Explain 40, 90, or 100 Percent of Performance?
- Suggested Readings
- Index
- A
- B
- C
- D
- E
- F
- G
- H
- I
- J
- K
- L
- M
- N
- O
- P
- R
- S
- T
- U
- V
- W
- Y
- Z
