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

2187 Atlantic Street

Stamford, CT 06902

United States

  • Yale School of Management

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

  • Zebra Capital Management, LLC

    • Email
    • Tel: 203 701 5900
SCHOLARLY PAPERS

32

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196

CROSSREF CITATIONS

230

Scholarly Papers (32)

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1.

Offshore Hedge Funds: Survival & Performance 1989-1995

Downloads 14,278 ( 510)
Citation 37

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 14,020 (521)
Citation 38

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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 258 (202,783)

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2.

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

Number of pages: 30 Posted: 18 Jul 2001
Roger G. Ibbotson and Peng Chen
Yale School of Management and Ibbotson Associates
Downloads 8,212 (1,364)
Citation 8

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Equity Risk Premium

3.

History and the Equity Risk Premium

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 7,901 (1,449)
Citation 2

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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 6,211 (2,186)
Citation 1

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

5.

A New Historical Database for the NYSE 1815 to 1925: Performance and Predictability

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 4,805 (3,386)
Citation 36

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6.

Liquidity as an Investment Style

Downloads 4,288 ( 4,102)
Citation 8

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
University of Hong Kong, Faculty of Business Economics (HKU Business School), Yale School of Management and affiliation not provided to SSRN
Downloads 2,318 (10,918)
Citation 3

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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 Kim and Wendy Yunchun Hu
Yale School of Management, University of Hong Kong, Faculty of Business Economics (HKU Business School), Sweetwater Digital Asset Consulting, LLC and Zebra Capital Management, LLC
Downloads 1,970 (14,187)
Citation 7

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

7.

Human Capital, Asset Allocation, and Life Insurance

Downloads 3,858 ( 4,888)
Citation 3

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 3,858 (4,791)
Citation 3

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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
Ibbotson Associates, Yale School of Management, York University - Schulich School of Business and affiliation not provided to SSRN

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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 3,608 (5,521)
Citation 22

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9.

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
P. 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
Pension Research Council, 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, Inc - San Francisco, 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 3,333 (6,290)
Citation 12

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

10.

Do Winners Repeat with Style?

Number of pages: 29 Posted: 09 Jan 2002
Roger G. Ibbotson and Amita K. Patel
Yale School of Management and Colonial Consulting
Downloads 2,204 (12,096)
Citation 20

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11.

Stocks, Bonds, Bills, and Inflation® (SBBI®): 2021 Summary Edition

CFA Institute Research Foundation Books, May 2021
Number of pages: 219 Posted: 27 Jul 2021
Roger G. Ibbotson and James P. Harrington
Yale School of Management and Duff & Phelps
Downloads 1,870 (15,658)
Citation 1

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12.

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

Downloads 1,154 (32,415)

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

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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 1,154 (31,914)

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Buybacks, Equity Returns, Return Predictability, Equity Premium

13.

Stocks, Bonds, Bills, and Inflation® (SBBI®): 2020 Summary Edition

CFA Institute Research Foundation Publications, August 2020
Number of pages: 216 Posted: 14 Sep 2020
Roger G. Ibbotson and James P. Harrington
Yale School of Management and Duff & Phelps
Downloads 1,093 (34,962)
Citation 9

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14.

The Popularity Asset Pricing Model

Number of pages: 40 Posted: 19 Sep 2019 Last Revised: 26 Oct 2021
Thomas M. Idzorek, Paul D. Kaplan and Roger G. Ibbotson
Morningstar Investment Management, Morningstar Canada and Yale School of Management
Downloads 784 (55,500)
Citation 3

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popularity, asset pricing theory, CAPM, heterogeneous expectations/ disagreement, preferences / tastes, behavioral finance

15.

Popularity: A Bridge between Classical and Behavioral Finance

CFA Institute Research Foundation Publications, December 2018, ISBN 978-1-944960-60-5
Number of pages: 163 Posted: 23 Oct 2019
Roger G. Ibbotson, Thomas M. Idzorek, Paul D. Kaplan and James X. Xiong
Yale School of Management, Morningstar Investment Management, Morningstar Canada and Morningstar Investment Management
Downloads 679 (67,148)
Citation 3

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16.

Liquidity Style of Mutual Funds

Number of pages: 18 Posted: 28 Mar 2011 Last Revised: 17 Feb 2012
Thomas M. Idzorek, James X. Xiong and Roger G. Ibbotson
Morningstar Investment Management, Morningstar Investment Management and Yale School of Management
Downloads 500 (98,237)
Citation 6

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Liquidity, Stocks, Portfolio Management, Mutual Funds

17.

Offshore Hedge Funds: Survival and Performance 1989-1995

Downloads 294 (178,437)
Citation 62

Offshore Hedge Funds: Survival and Performance 1989-1995

NBER Working Paper No. w5909
Number of pages: 34 Posted: 20 Jul 2000 Last Revised: 26 Aug 2022
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 186 (276,500)

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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 108 (429,018)
Citation 23

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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:

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18.

Research Foundation Review 2018

CFA Institute Research Foundation Review 2018
Number of pages: 94 Posted: 23 Oct 2019
Paul Smith, Theodore R. Aronson, Bud Haslett, Laurence B. Siegel, Donald R. Chambers, Keith Black, Nelson J. Lacey, Ronald N. Kahn, Roger G. Ibbotson, Thomas M. Idzorek, Paul D. Kaplan, James X. Xiong, Ying L. Becker, Marc R. Reinganum, Martin S. Fridson, Mauro Costa Miranda, Michael Greis, Elke U. Weber, Joachim Klement, Momtchil Pojarliev and Joanne M. Hill
CFA Institute, CFA Institute Research Foundation, CFA Institute Research Foundation, CFA Institute Research Foundation, Chartered Alternative Investment Analyst Association (CAIA), Chartered Alternative Investment Analyst Association (CAIA), Chartered Alternative Investment Analyst Association (CAIA), BlackRock, Inc - San Francisco, Yale School of Management, Morningstar Investment Management, Morningstar Canada, Morningstar Investment Management, IBS, Driehaus Capital Management LLC, Lehmann, Livian, Fridson Advisors LLC, Government of the Federative Republic of Brazil - Central Bank of Brazil, Independent, Princeton University - Department of Psychology, Liberum Capital, Fischer Francis Trees & Watts, Inc. and ProShare Advisors LLC
Downloads 162 (311,976)

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CFA Institute, CFA Institute research foundation, alternative investing, active indexing, ETF, financial crisis, high yield, latin america, sustainable investing, risk tolerance, risk profiling, currency hedging, quantitative investing, alternative investing, popularity, ibbotson

19.

The CAPM, APT, and PAPM

Number of pages: 43 Posted: 09 Sep 2023
Thomas M. Idzorek, Paul D. Kaplan and Roger G. Ibbotson
Morningstar Investment Management, Morningstar Canada and Yale School of Management
Downloads 138 (355,455)

Abstract:

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Capital Asset Pricing Model (CAPM), Arbitrage Pricing Theory (APT), asset pricing theory, heterogeneous expectations/ disagreement, preferences / tastes, Popularity Asset Pricing Theory (PAPM)

20.

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
Zicklin School of Business, Baruch College and Yale School of Management
Downloads 127 (378,678)

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Real Estate

21.

The End of Darwinism: How Humans are Overriding Evolution

Number of pages: 25 Posted: 28 Mar 2022
Roger G. Ibbotson and Sydney Closs
Yale School of Management and Yale University
Downloads 78 (525,611)

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Darwin,natural selection,population,evolution,species,survival rates,adaptation,economic growth,domestication,Darwinism

22.

The Diminishing Role of Active Mutual Funds: Flows and Returns

Number of pages: 45 Posted: 13 Aug 2023
James X. Xiong, Thomas M. Idzorek and Roger G. Ibbotson
Morningstar Investment Management, Morningstar Investment Management and Yale School of Management
Downloads 71 (554,229)

Abstract:

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active mutual fund, fund alpha, fund flow, flow impact

23.

Contrasting Real Estate with Comparable Investments, 1978-2008

Journalof Portfolio Management, Vol. 35, No. 5, p. 141, 2009, https://doi.org/10.3905/JPM.2009.36.1.141
Posted: 21 May 2019
Jack Clark Francis and Roger G. Ibbotson
Zicklin School of Business, Baruch College and Yale School of Management

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

24.

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

Journal of Portfolio Management, Forthcoming
Posted: 05 Jun 2013
James X. Xiong, Thomas M. Idzorek and Roger G. Ibbotson
Morningstar Investment Management, Morningstar Investment Management and Yale School of Management

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Volatility, Tail Risk, Equity funds

25.

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

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

26.

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

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

27.

The Equal Importance of Asset Allocation and Active Management

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The Equal Importance of Asset Allocation and Active Management

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

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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 M. Idzorek and Peng Chen
Morningstar Investment Management, Yale School of Management, Morningstar Investment Management and Ibbotson Associates

Abstract:

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

28.

The Importance of Asset Allocation

Financial Analysts Journal, Vol. 66, No. 2, 2010
Posted: 01 Apr 2010
Roger G. Ibbotson
Yale School of Management

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29.

"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

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

30.

Long-Run Stock Returns: Participating in the Real Economy

Posted: 04 Apr 2003
Roger G. Ibbotson and Peng Chen
Yale School of Management and Ibbotson Associates

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Portfolio Management, Asset Allocation

31.

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

Posted: 05 Oct 2001
Roger G. Ibbotson and Paul D. Kaplan
Yale School of Management and Morningstar Canada

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32.

An Emerging Market: The NYSE from 1815 to 1871

Posted: 19 May 1998
Roger G. Ibbotson and William N. Goetzmann
Yale School of Management and Yale School of Management - International Center for Finance

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