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The Equity Risk Premium: Essays and Explorations / Edition 1
     

The Equity Risk Premium: Essays and Explorations / Edition 1

by William N. Goetzmann, Roger G. Ibbotson
 

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ISBN-10: 0195148142

ISBN-13: 9780195148145

Pub. Date: 04/01/2005

Publisher: Oxford University Press, USA

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

Overview

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.

Product Details

ISBN-13:
9780195148145
Publisher:
Oxford University Press, USA
Publication date:
04/01/2005
Edition description:
New Edition
Pages:
576
Product dimensions:
9.30(w) x 6.00(h) x 1.30(d)

Table of Contents

Dedications
Authors' Biographies
I. Introduction
Opening Remarks and Motivation
Major Concepts and Roadmap Through the Book
II. The Lessons of History
1. History and the Equity Risk Premium
2. Stocks, Bonds, Bills and Inflation: Year-by-Year Historical Returns (1926-1974),, Roger G. Ibbotson and Rex Sinquefield, Journal of Business January, 1976
3. A New Historical Database for the NYSE 1815 to 1925: Performance and Predictability, William N. Goetzmann, Roger G. Ibbotson, and Liang Peng, March 2001, The Journal of Financial Markets
4. The United States Market Wealth Portfolio, Roger G. Ibbotson and Carol Fall, Journal of Portfolio Management, Fall, 1979
5. World Wealth: U.S. and Foreign Market Values and Returns, Roger G. Ibbotson, Laurence Siegel and Kathryn S. Love, Journal of Portfolio Management, Fall, 1985
III. Demand, Supply, and Building Block Forecasting Methods
6. How to Forecast Long Run Asset Returns, Roger G. Ibbotson and Larry Siegel, Investment Management Review, September/October 1988
7. The Demand for Capital Market Returns: A New Equilibrium Theory, Roger G. Ibbotson, Laurence B. Siegel, and Jeffrey J. Diermeier, Financial Analysts Journal, January/February, 1984
8. The Supply of Capital Market Returns, Jeffrey J. Diermeier, Roger G. Ibbotson, and Laurence B. Siegel, Financial Analysts Journal, March/April, 1984
9. Building the Future from the Past, Roger G. Ibbotson, TIAA/CREF Investment Forum, June 2002
10. Long Run Stock Returns: Participating in the Real Economy, Roger G. Ibbotson and Peng Chen, Financial Analysts Journal, January/February, 2003
IV. Simulating and Forecasting
11. Stocks, Bonds, Bills, and Inflation: Simulations of the Future (1976-2000), Roger G. Ibbotson and Rex Sinquefield, Journal of Business, July, 1976 pp. 318-338
12. Predictions of the Past and Forecasts for the Future: 1976-2025, Roger G. Ibbotson, Ibbotson Associates, 1999
13. Short Horizon Inputs and Long Horizon Portfolio Choice, William N. Goetzmann and Franklin Edwards, Journal of Portfolio Management; 20(4), Summer 1994, pages
V. Survivorship and the Selection Bias
14. Survival, Stephen Brown, William N. Goetzmann, and Stephen Ross, Journal of Finance 50(3), July 1995
15. Survivorship Bias in Performance Studies, Stephen Brown, William N. Goetzmann, Roger G. Ibbotson, and Stephen A. Ross, Review of Financial Studies v 5(4), 1992
16. Global Stock Markets in the Twentieth Century, William N. Goetzmann, and Philippe Jorion, Journal of Finance, 54(3), June 1999
17. Re-emerging Markets, William N. Goetzmann and Philippe Jorion, Journal of Financial and Quantitative Analysis, (1), March 1999
VI. Predicting Variations
18. The Dow Theory: William Peter Hamilton's Track Record Reconsidered, William N. Goetzmann with Stephen Brown and Alok Kumar, Journal of Finance, August 1998
19. Patterns in Three Centuries of Stock Market Prices, William N. Goetzmann, Journal of Business; 66(2), April 1993
20. Bootstrapping Tests of Long-Term Stock Market Efficiency, William N. Goetzmann, Yale School of Management Working Paper, 1991
21. Testing the Predictive Power of Dividend Yields, William N. Goetzmann and Philippe Jorion, Journal of Finance, 48(2), June 1993
22. A Longer Look at Dividend Yields, William N. Goetzmann and Philippe Jorion, Journal of Business, 68(4), October 1995
23. Does Asset Allocation Policy Explain 40%, 90%, or 100% of Performance?, Roger G. Ibbotson and Paul D. Kaplan, Financial Analysts Journal, (56), 1, January/February 2000
References

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