The Equity Risk Premium: Essays and Explorations by William N. GoetzmannThe Equity Risk Premium: Essays and Explorations by William N. Goetzmann

The Equity Risk Premium: Essays and Explorations

byWilliam N. Goetzmann, Roger G. Ibbotson

Hardcover | October 15, 2006

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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 thestock 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 ofstock 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 thereader 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 higheror lower equity risk premia? The authors use the historical performance of the world's stock markets to address these issues.
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 A...
Title:The Equity Risk Premium: Essays and ExplorationsFormat:HardcoverDimensions:576 pages, 5.98 × 9.29 × 1.3 inPublished:October 15, 2006Publisher:Oxford University PressLanguage:English

The following ISBNs are associated with this title:

ISBN - 10:0195148142

ISBN - 13:9780195148145


Table of Contents

DedicationsAuthors' BiographiesI. IntroductionOpening Remarks and MotivationMajor Concepts and Roadmap Through the BookII. The Lessons of History1. History and the Equity Risk Premium2. Roger G. Ibbotson and Rex Sinquefield, Journal of Business January, 1976: Stocks, Bonds, Bills and Inflation: Year-by-Year Historical Returns (1926-1974),3. William N. Goetzmann, Roger G. Ibbotson, and Liang Peng, March 2001, The Journal of Financial Markets: A New Historical Database for the NYSE 1815 to 1925: Performance and Predictability4. Roger G. Ibbotson and Carol Fall, Journal of Portfolio Management, Fall, 1979: The United States Market Wealth Portfolio5. Roger G. Ibbotson, Laurence Siegel and Kathryn S. Love, Journal of Portfolio Management, Fall, 1985: World Wealth: U.S. and Foreign Market Values and ReturnsIII. Demand, Supply, and Building Block Forecasting Methods6. Roger G. Ibbotson and Larry Siegel, Investment Management Review, September/October 1988: How to Forecast Long Run Asset Returns7. Roger G. Ibbotson, Laurence B. Siegel, and Jeffrey J. Diermeier, Financial Analysts Journal, January/February, 1984: The Demand for Capital Market Returns: A New Equilibrium Theory8. Jeffrey J. Diermeier, Roger G. Ibbotson, and Laurence B. Siegel, Financial Analysts Journal, March/April, 1984: The Supply of Capital Market Returns9. Roger G. Ibbotson, TIAA/CREF Investment Forum, June 2002: Building the Future from the Past10. Roger G. Ibbotson and Peng Chen, Financial Analysts Journal, January/February, 2003: Long Run Stock Returns: Participating in the Real EconomyIV. Simulating and Forecasting11. Roger G. Ibbotson and Rex Sinquefield, Journal of Business, July, 1976 pp. 318-338: Stocks, Bonds, Bills, and Inflation: Simulations of the Future (1976-2000)12. Roger G. Ibbotson, Ibbotson Associates, 1999: Predictions of the Past and Forecasts for the Future: 1976-202513. William N. Goetzmann and Franklin Edwards, Journal of Portfolio Management; 20(4), Summer 1994, pages: Short Horizon Inputs and Long Horizon Portfolio ChoiceV. Survivorship and the Selection Bias14. Stephen Brown, William N. Goetzmann, and Stephen Ross, Journal of Finance 50(3), July 1995: Survival15. Stephen Brown, William N. Goetzmann, Roger G. Ibbotson, and Stephen A. Ross, Review of Financial Studies v 5(4), 1992: Survivorship Bias in Performance Studies16. William N. Goetzmann, and Philippe Jorion, Journal of Finance, 54(3), June 1999: Global Stock Markets in the Twentieth Century17. William N. Goetzmann and Philippe Jorion, Journal of Financial and Quantitative Analysis, (1), March 1999: Re-emerging MarketsVI. Predicting Variations18. William N. Goetzmann with Stephen Brown and Alok Kumar, Journal of Finance, August 1998: The Dow Theory: William Peter Hamilton's Track Record Reconsidered19. William N. Goetzmann, Journal of Business; 66(2), April 1993: Patterns in Three Centuries of Stock Market Prices20. William N. Goetzmann, Yale School of Management Working Paper, 1991: Bootstrapping Tests of Long-Term Stock Market Efficiency21. William N. Goetzmann and Philippe Jorion, Journal of Finance, 48(2), June 1993: Testing the Predictive Power of Dividend Yields22. William N. Goetzmann and Philippe Jorion, Journal of Business, 68(4), October 1995: A Longer Look at Dividend Yields23. Roger G. Ibbotson and Paul D. Kaplan, Financial Analysts Journal, (56), 1, January/February 2000: Does Asset Allocation Policy Explain 40%, 90%, or 100% of Performance?References

Editorial Reviews

"Understanding the stock market is really about understanding the premium that investors demand for holding stocks over less risky assets. Not surprisingly, then, the 'equity premium puzzle' i.e., the seemingly inexplicably high historical excess returns on the stock market, has become a focusof extensive research and debate. To quote Goetzmann and Ibbotson, 'history matters,' and with the deceptively simple act of putting it together, they have shown us just how much it does and how much we can learn from the past. They have also staked their position firmly in the camp of those whobelieve that with careful statistical analysis of the historical record, and, in particular, with a clear understanding of the role of survivorship bias, the puzzle can be explained. Whatever prior views they may hold, both the professional and the interested amateur will learn much from thiswork."--Stephen A. Ross, Franco Modigliani Professor of Finance and Economics, MIT