The Equity Risk Premium

DedicationsAuthors' BiographiesI. IntroductionOpening Remarks and MotivationMajor Concepts and Roadmap Through the BookII. The Lessons of History1. History and the Equity Risk Premium2. Stocks, Bonds, Bills and Inflation: Year-by-Year Historical Returns (1926-1974),, Roger G. Ibbotson and Rex Sinquefield, Journal of Business January, 19763. 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 Markets4. The United States Market Wealth Portfolio, Roger G. Ibbotson and Carol Fall, Journal of Portfolio Management, Fall, 19795. World Wealth: U.S. and Foreign Market Values and Returns, Roger G. Ibbotson, Laurence Siegel and Kathryn S. Love, Journal of Portfolio Management, Fall, 1985III. Demand, Supply, and Building Block Forecasting Methods6. How to Forecast Long Run Asset Returns, Roger G. Ibbotson and Larry Siegel, Investment Management Review, September/October 19887. 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, 19848. The Supply of Capital Market Returns, Jeffrey J. Diermeier, Roger G. Ibbotson, and Laurence B. Siegel, Financial Analysts Journal, March/April, 19849. Building the Future from the Past, Roger G. Ibbotson, TIAA/CREF Investment Forum, June 200210. Long Run Stock Returns: Participating in the Real Economy, Roger G. Ibbotson and Peng Chen, Financial Analysts Journal, January/February, 2003IV. Simulating and Forecasting11. Stocks, Bonds, Bills, and Inflation: Simulations of the Future (1976-2000), Roger G. Ibbotson and Rex Sinquefield, Journal of Business, July, 1976 pp. 318-33812. Predictions of the Past and Forecasts for the Future: 1976-2025, Roger G. Ibbotson, Ibbotson Associates, 199913. Short Horizon Inputs and Long Horizon Portfolio Choice, William N. Goetzmann and Franklin Edwards, Journal of Portfolio Management; 20(4), Summer 1994, pagesV. Survivorship and the Selection Bias14. Survival, Stephen Brown, William N. Goetzmann, and Stephen Ross, Journal of Finance 50(3), July 199515. Survivorship Bias in Performance Studies, Stephen Brown, William N. Goetzmann, Roger G. Ibbotson, and Stephen A. Ross, Review of Financial Studies v 5(4), 199216. Global Stock Markets in the Twentieth Century, William N. Goetzmann, and Philippe Jorion, Journal of Finance, 54(3), June 199917. Re-emerging Markets, William N. Goetzmann and Philippe Jorion, Journal of Financial and Quantitative Analysis, (1), March 1999VI. Predicting Variations18. The Dow Theory: William Peter Hamilton's Track Record Reconsidered, William N. Goetzmann with Stephen Brown and Alok Kumar, Journal of Finance, August 199819. Patterns in Three Centuries of Stock Market Prices, William N. Goetzmann, Journal of Business; 66(2), April 199320. Bootstrapping Tests of Long-Term Stock Market Efficiency, William N. Goetzmann, Yale School of Management Working Paper, 199121. Testing the Predictive Power of Dividend Yields, William N. Goetzmann and Philippe Jorion, Journal of Finance, 48(2), June 199322. A Longer Look at Dividend Yields, William N. Goetzmann and Philippe Jorion, Journal of Business, 68(4), October 199523. 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 2000References

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.