Nov

17

New study by Dimson, et. al.

November 17, 2024 |

the authors of this study should receive a Nobel Prize. the study is magnificent and the conclusions are useful and surprising. I would add that the studies do not take into account the theory of ever changing cycles. current conditions differ from the 19th century.

Long-run Asset Returns
Annual Review of Financial Economics, volume 16, issue 1,
2024[10.1146/annurev-financial-082123-105515]
David Chambers, University of Cambridge - Judge Business School; CEPR
Elroy Dimson, University of Cambridge - Judge Business School; European Corporate Governance Institute (ECGI)
Antti Ilmanen, AQR Capital Management
Paul Rintamäki, Aalto University
Date Written: October 10, 2024

The literature on long-run asset returns has continued to grow steadily, particularly since the start of the new millennium. We survey this expanding body of evidence on historical return premia across the major asset classes-stocks, bonds, and real assets-over the very long run. In addition, we discuss the benefits and pitfalls of these long-run data sets and make suggestions on best practice in compiling and using such data. We report the magnitude of these risk premia over the current and previous two centuries, and we compare estimates from alternative data compilers. We conclude by proposing some promising directions for future research.

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