Abstract

http://ssrn.com/abstract=702341
 
 

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History and the Equity Risk Premium


Roger G. Ibbotson


Yale School of Management; Zebra Capital Management, LLC

William N. Goetzmann


Yale School of Management - International Center for Finance; National Bureau of Economic Research (NBER)

April 6, 2005

Yale ICF Working Paper No. 05-04

Abstract:     
We summarize some of our own past findings and place them in the context of the historical development of the idea of the equity risk premium and its empirical measurement by financial economists. In particular, we focus on how the theory of compensation for investment risk developed in the 20th century in tandem with the empirical analysis of historical investment performance. Finally, we update our study of the historical performance of the New York Stock Exchange over the period 1792 to the present, and include a measure of the U.S. equity risk premium over more than two centuries. This last section is based upon indices constructed from individual stock and dividend data collected over a decade of research at the Yale School of Management, and contributions by other scholars.

Number of Pages in PDF File: 19

Keywords: financial history, equity premium

JEL Classification: N2, G11

working papers series


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Date posted: April 12, 2005  

Suggested Citation

Ibbotson, Roger G. and Goetzmann, William N., History and the Equity Risk Premium (April 6, 2005). Yale ICF Working Paper No. 05-04. Available at SSRN: http://ssrn.com/abstract=702341

Contact Information

Roger G. Ibbotson
Yale School of Management ( email )
135 Prospect Street
P.O. Box 208200
New Haven, CT 06520-8200
United States
203-432-6021 (Phone)
203-432-6970 (Fax)
Zebra Capital Management, LLC ( email )
612 Wheelers Farms Road
Milford, CT 06461
United States
William N. Goetzmann (Contact Author)
Yale School of Management - International Center for Finance ( email )
135 Prospect Street
P.O. Box 208200
New Haven, CT 06520-8200
United States
203-432-5950 (Phone)
203-432-8931 (Fax)
HOME PAGE: http://viking.som.yale.edu

National Bureau of Economic Research (NBER)
1050 Massachusetts Avenue
Cambridge, MA 02138
United States
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