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Roger G. Ibbotson

Yale School of Management

Professor

165 Whitney Avenue

P.O. Box 208200

New Haven, CT 06520-8200

United States

Zebra Capital Management, LLC

Zebra Capital Management, LLC

612 Wheelers Farms Road

Milford, CT 06461

United States

  • Yale School of Management

    • Email
    • Tel: 203-432-6021
    • Fax: 203-432-6970

  • Zebra Capital Management, LLC

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SCHOLARLY PAPERS

23

DOWNLOADS
Rank 192

SSRN RANKINGS

Top 192

in Total Papers Downloads

51,945

CITATIONS
Rank 1,102

SSRN RANKINGS

Top 1,102

in Total Papers Citations

492

Scholarly Papers (23)

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1.

Offshore Hedge Funds: Survival & Performance 1989-1995

Downloads 13,926 ( 172)
Citation 166

Offshore Hedge Funds: Survival & Performance 1989-1995

Yale School of Management Working Paper No. F-52B
Number of pages: 38 Posted: 27 Feb 1997
William N. Goetzmann, Roger G. Ibbotson and Stephen J. Brown
Yale School of Management - International Center for Finance, Yale School of Management and New York University - Stern School of Business
Downloads 13,713 (174)
Citation 165

Abstract:

Offshore Hedge Funds: Survival & Performance 1989-1995

NYU Working Paper No. FIN-98-011
Number of pages: 41 Posted: 07 Nov 2008
Stephen J. Brown, William N. Goetzmann and Roger G. Ibbotson
New York University - Stern School of Business, Yale School of Management - International Center for Finance and Yale School of Management
Downloads 213 (117,119)
Citation 166

Abstract:

2.

Stock Market Returns in the Long Run: Participating in the Real Economy

Yale ICF Working Paper No. 00-44
Number of pages: 30 Posted: 18 Jul 2001
Roger G. Ibbotson and Peng Chen
Yale School of Management and Ibbotson Associates
Downloads 7,000 (572)
Citation 23

Abstract:

Equity Risk Premium

3.

History and the Equity Risk Premium

Yale ICF Working Paper No. 05-04
Number of pages: 19 Posted: 12 Apr 2005
Roger G. Ibbotson and William N. Goetzmann
Yale School of Management and Yale School of Management - International Center for Finance
Downloads 6,956 (583)
Citation 16

Abstract:

financial history, equity premium

4.

The A,B,Cs of Hedge Funds: Alphas, Betas, and Costs

Yale ICF Working Paper No. 06-10
Number of pages: 22 Posted: 01 Jun 2005
Roger G. Ibbotson and Peng Chen
Yale School of Management and Ibbotson Associates
Downloads 5,747 (824)
Citation 22

Abstract:

hedge fund, costs, alpha, beta, returns, sources

5.

A New Historical Database For The NYSE 1815 To 1925: Performance And Predictability

Yale ICF Working Paper No. 00-13; Yale SOM Working Paper No. ICF - 00-13
Number of pages: 45 Posted: 14 Aug 2000
William N. Goetzmann, Roger G. Ibbotson and Liang Peng
Yale School of Management - International Center for Finance, Yale School of Management and Smeal College of Business, The Pennsylvania State University
Downloads 3,942 (1,499)
Citation 31

Abstract:

6.

Liquidity as an Investment Style

Downloads 3,126 ( 2,515)
Citation 3

Liquidity as an Investment Style

Yale SOM Working Paper
Number of pages: 31 Posted: 12 Sep 2010 Last Revised: 15 Sep 2010
Zhiwu Chen, Roger G. Ibbotson and Wendy Hu
Yale University - International Center for Finance, Yale School of Management and affiliation not provided to SSRN
Downloads 1,831 (6,226)
Citation 3

Abstract:

Liquidity, Stocks, Investment Style

Liquidity as an Investment Style

Financial Analysts Journal, Vol. 69, No. 3, 2013
Number of pages: 34 Posted: 24 Apr 2011 Last Revised: 24 May 2013
Roger G. Ibbotson, Zhiwu Chen, Daniel Y.-J. Kim and Wendy Yunchun Hu
Yale School of Management, Yale University - International Center for Finance, Zebra Capital Management, LLC and Zebra Capital Management, LLC
Downloads 1,295 (11,123)
Citation 3

Abstract:

liquidity, investment style, size, value, momentum, turnover, stock returns, factors, Sharpe

7.

Human Capital, Asset Allocation, and Life Insurance

Downloads 3,027 ( 2,679)
Citation 11

Human Capital, Asset Allocation, and Life Insurance

Yale ICF Working Paper No. 05-11
Number of pages: 21 Posted: 13 May 2005
Roger G. Ibbotson, Peng Chen, Moshe A. Milevsky and Xingnong Zhu
Yale School of Management, Ibbotson Associates, York University - Schulich School of Business and Ibbotson Associates
Downloads 3,027 (2,610)
Citation 11

Abstract:

Human Capital, Asset Allocation, Life Insurance

Human Capital, Asset Allocation, and Life Insurance

Financial Analysts Journal, Vol. 62, No. 1, pp. 97-109, January/February 2006
Posted: 03 May 2006
Peng Chen, Roger G. Ibbotson, Moshe A. Milevsky and Kevin X. Zhu Sr.
Ibbotson Associates, Yale School of Management, York University - Schulich School of Business and affiliation not provided to SSRN

Abstract:

Private Wealth Management, Asset Allocation, Client Objectives Constraints and Behavior, Investment Policy Formulation

8.

The ABCs of Hedge Funds: Alphas, Betas, & Costs

Number of pages: 26 Posted: 01 Apr 2010 Last Revised: 23 Apr 2010
Roger G. Ibbotson, Peng Chen and Kevin X. Zhu
Yale School of Management, Ibbotson Associates and Hong Kong Polytechnic University
Downloads 2,515 (3,031)
Citation 20

Abstract:

9.

Do Winners Repeat with Style?

Yale ICF Working Paper No. 00-70
Number of pages: 29 Posted: 09 Jan 2002
Roger G. Ibbotson and Amita K. Patel
Yale School of Management and Colonial Consulting
Downloads 1,970 (5,347)
Citation 9

Abstract:

10.

The Long-Run Drivers of Stock Returns: Total Payouts and the Real Economy

Downloads 378 ( 62,839)
Citation 5

The Long-Run Drivers of Stock Returns: Total Payouts and the Real Economy

Financial Analysts Journal, Vol. 73, No. 3, 2017
Posted: 17 Apr 2017 Last Revised: 21 Apr 2017
Philip U. Straehl and Roger G. Ibbotson
Morningstar Investment Management and Yale School of Management

Abstract:

Portfolio Management, Economic Analysis and Capital Market Expectations, Key Macroeconomic Factors Affecting Asset Returns, Corporate Finance, Dividend Policy: Dividend Theory, Corporate Finance, Dividend Policy, Factors Affecting Dividend Payout Policy Dividend Policy

The Supply of Stock Returns: Adding Back Buybacks

Number of pages: 32 Posted: 15 Jan 2016
Philip U. Straehl and Roger G. Ibbotson
Morningstar Investment Management and Yale School of Management
Downloads 378 (62,245)
Citation 5

Abstract:

Buybacks, Equity Returns, Return Predictability, Equity Premium

11.

Liquidity Style of Mutual Funds

Number of pages: 18 Posted: 28 Mar 2011 Last Revised: 17 Feb 2012
Thomas Idzorek, James X. Xiong and Roger G. Ibbotson
Ibbotson Associates - A Morningstar Company, Ibbotson Associates and Yale School of Management
Downloads 370 (58,770)
Citation 2

Abstract:

Liquidity, Stocks, Portfolio Management, Mutual Funds

12.

Rethinking the Equity Risk Premium

Brett Hammond, Martin Leibowitz, and Laurence Siegel (Eds), Rethinking the Equity Premium, Research Foundation of CFA Institute, 2011-1
Number of pages: 164 Posted: 12 Jun 2015 Last Revised: 19 Mar 2016
Paul Brett Hammond, Martin L. Leibowitz, Laurence B. Siegel, Roger G. Ibbotson, Clifford S. Asness, Elroy Dimson, Paul Marsh, Mike Staunton, Richard C. Grinold, Kenneth F. Kroner, Robert D. Arnott, Antti Ilmanen, Peng Cheng, Andrew Ang, Zhang Xiaoyan, Jeremy J. Siegel and Rajnish Mehra
Capital Group, Teachers Insurance and Annuity Association College Retirement Equities Fund (TIAA-CREF), CFA Institute Research Foundation, Yale School of Management, AQR Capital Management, LLC, University of Cambridge - Judge Business School, London Business School - Institute of Finance and Accounting, London Business School - Institute of Finance and Accounting, Barclays, Blackrock, Research Affiliates, LLC, AQR Capital Management, Xi'an Jiaotong - Liverpool University - International Business School Suzhou, BlackRock, Inc, Independent, University of Pennsylvania - Finance Department and Arizona State University (ASU) - W.P Carey School of Business, Department of Economics
Downloads 274 (9,912)
Citation 2

Abstract:

ERP, Equity risk premium, CFA, CFA Institute, research foundation, Arnott, Asness, Dimson

13.

Offshore Hedge Funds: Survival and Performance 1989-1995

Downloads 155 (156,955)

Offshore Hedge Funds: Survival and Performance 1989-1995

NBER Working Paper No. w5909
Number of pages: 34 Posted: 20 Jul 2000
Stephen J. Brown, William N. Goetzmann and Roger G. Ibbotson
New York University - Stern School of Business, Yale School of Management - International Center for Finance and Yale School of Management
Downloads 93 (232,865)
Citation 181

Abstract:

Offshore Hedge Funds: Survival and Performance 1989-1995

NYU Working Paper No. FIN-96-018
Number of pages: 23 Posted: 07 Nov 2008
Stephen J. Brown, William N. Goetzmann and Roger G. Ibbotson
New York University - Stern School of Business, Yale School of Management - International Center for Finance and Yale School of Management
Downloads 62 (296,594)
Citation 180

Abstract:

Offshore Hedge Funds: Survival and Performance, 1989-1995

Journal of Business, Vol. 72, Issue 1, January 1999
Posted: 16 Nov 1998
Stephen J. Brown, William N. Goetzmann and Roger G. Ibbotson
New York University - Stern School of Business, Yale School of Management - International Center for Finance and Yale School of Management

Abstract:

14.

Contrasting Real Estate with Comparable Investments, 1978-2008

Journalof Portfolio Management, Vol. 35, No. 5, p. 141, 2009
Number of pages: 15 Posted: 04 Apr 2015
Jack Clark Francis and Roger G. Ibbotson
Bernard Baruch College and Yale School of Management
Downloads 36 (243,051)

Abstract:

Residential real estate, commercial real estate, farm real estate, securities, inflation

15.

Empirical Risk-Return Analysis of Real Estate Investments in the U.S., 1972-1999

Institutional Investor Journals, Journal of Alternative Investments, 4(1), 2001, 33-39.
Number of pages: 7 Posted: 16 Oct 2001 Last Revised: 21 Apr 2015
Jack Clark Francis and Roger G. Ibbotson
Bernard Baruch College and Yale School of Management
Downloads 9 (342,930)
Citation 1

Abstract:

Real Estate

16.

Volatility vs. Tail Risk: Which One is Compensated in Equity Funds?

Journal of Portfolio Management, Forthcoming
Posted: 05 Jun 2013
James X. Xiong, Thomas Idzorek and Roger G. Ibbotson
Ibbotson Associates, a Morningstar company, Ibbotson Associates - A Morningstar Company and Yale School of Management

Abstract:

Volatility, Tail Risk, Equity funds

17.

The ABCs of Hedge Funds: Alphas, Betas, and Costs

Financial Analysts Journal, Vol. 67, No. 1, 2011
Posted: 23 Jan 2011
Roger G. Ibbotson, Peng Chen and Kevin X. Zhu
Yale School of Management, Ibbotson Associates and Hong Kong Polytechnic University

Abstract:

Alternative Investments, Hedge Funds, Performance Measurement and Evaluation, Portfolio Management, Alternative Investment Portfolio Management Strategies, Hedge Funds

18.

Perspectives: The Importance of Asset Allocation

Financial Analysts Journal, Vol. 66, No. 2, 2010
Posted: 16 Apr 2010
Roger G. Ibbotson
Yale School of Management

Abstract:

Performance Measurement and Evaluation, Performance Attribution, Return Measures (Arithmetic, Geometric, Time Weighted, Dollar Weighted), Portfolio Management, Asset Allocation

19.

The Equal Importance of Asset Allocation and Active Management

Downloads 0 (553,501)

The Equal Importance of Asset Allocation and Active Management

Financial Analysts Journal, Vol. 66, No. 2, 2010
Posted: 02 Apr 2010
Thomas Idzorek, Peng Chen, James X. Xiong and Roger G. Ibbotson
Ibbotson Associates - A Morningstar Company, Ibbotson Associates, Ibbotson Associates and Yale School of Management

Abstract:

The Equal Importance of Asset Allocation and Active Management

Financial Analysts Journal, Vol. 66, No. 2, 2010
Posted: 16 Apr 2010
James X. Xiong, Roger G. Ibbotson, Thomas Idzorek and Peng Chen
Ibbotson Associates, Yale School of Management, Ibbotson Associates - A Morningstar Company and Ibbotson Associates

Abstract:

Performance Measurement and Evaluation, Performance Attribution, Portfolio Management, Asset Allocation

20.

"Hot Issue" Markets

University of Illinois at Urbana-Champaign's Academy for Entrepreneurial Leadership Historical Research Reference in Entrepreneurship
Posted: 17 Nov 2009
Jeffrey F. Jaffe and Roger G. Ibbotson
University of Pennsylvania - Finance Department and Yale School of Management

Abstract:

Underwriting, Securities, Stock offerings, Initial public offerings (IPO), Investors

21.

Long-Run Stock Returns: Participating in the Real Economy

Financial Analysts Journal, Vol. 59, No. 1, February 2003
Posted: 04 Apr 2003
Roger G. Ibbotson and Peng Chen
Yale School of Management and Ibbotson Associates

Abstract:

Portfolio Management, Asset Allocation

22.

Does Asset Allocation Policy Explain 40, 90, 100 Percent of Performance?

Financial Analysts Journal, Jan/Feb 2000, Vol. 56, No. 1
Posted: 05 Oct 2001
Roger G. Ibbotson and Paul D. Kaplan
Yale School of Management and Morningstar, Inc.

Abstract:

23.

An Emerging Market: The NYSE From 1815 to 1871

Yale School of Management Working Paper No. F-49
Posted: 19 May 1998
Roger G. Ibbotson and William N. Goetzmann
Yale School of Management and Yale School of Management - International Center for Finance

Abstract:

Submit a Paper Section 508 Text Only Pages

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