The Equity Risk Premium

The Equity Risk Premium : Essays and Explorations

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Description

This book aims to create a strong understanding of the empirical basis for the equity risk premium. Through the research and anaylsis of two scholars who are experts in this field, this volume presents the key issues that are paramount to investors, including whether or not to use historical data as a method of equity investing, and can the equity premium reflect changes in fundamental values and cash flows of the market.show more

Product details

  • Hardback | 576 pages
  • 160 x 233.7 x 33mm | 884.52g
  • Oxford University Press Inc
  • New York, United States
  • English
  • numerous line drawings, tables, mathematical examples and halftones
  • 0195148142
  • 9780195148145
  • 2,043,583

About William N. Goetzmann

Robert Ibbotson is a member of the Yale School of Finance Faculty since 1986. He is Chairman and Founder of Ibbotson Assocaites in Chicago and New York, which provides consulting services, software, data and financial publishing for financial institutions and investment advisors. 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 disseminating academic research in Finance.show more

Review quote

William Goetzmann and Roger Ibbotson have produced a searching and comprehensive analysis of how history reveals the forces that shape risk and return in the stock market. But HURRAH! their work is also eminently readable. All investors, economic historians, and financial academics should read this book-and hurry up about it. * Peter L. Bernstein, Publisher of Economics and Portfolio Strategy and Consulting Editor of The Journal of Portfolio Management *show more

Table of contents

CONTRIBUTORS ; . Introduction: Opening Remarks and Motivation ; The Lesons of History ; Major Concepts and Roadmap Through the Book ; I. THE LESSONS OF HISTORY ; 1. History and the Equity Risk Premium ; 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 ; 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 ; 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 ; IV. SURVIVORSHIP AND SELECTION BIAS ; 14. Survival ; 15. Survivorship Bias in Performance Studies ; 16. Global Stock Markets in the Twentieth Century ; 17. Re-emerging Markets ; 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% of Performance?show more

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