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

SCHOLARLY PAPERS

27

DOWNLOADS
Rank 266

SSRN RANKINGS

Top 266

in Total Papers Downloads

56,096

SSRN CITATIONS
Rank 3,391

SSRN RANKINGS

Top 3,391

in Total Papers Citations

108

CROSSREF CITATIONS

219

Scholarly Papers (27)

1.
Downloads 14,086 ( 231)
Citation 14

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 13,858 (231)
Citation 14

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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 228 (138,831)

Abstract:

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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 7,689 (747)
Citation 5

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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 7,464 (791)
Citation 1

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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 6,058 (1,126)

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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

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 4,380 (2,001)
Citation 20

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6.
Downloads 3,620 ( 2,781)
Citation 7

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, Yale School of Management and affiliation not provided to SSRN
Downloads 2,071 (6,984)
Citation 2

Abstract:

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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, Sweetwater Digital Asset Consulting, LLC and Zebra Capital Management, LLC
Downloads 1,549 (11,342)
Citation 6

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

7.
Downloads 3,469 ( 2,985)
Citation 2

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 3,469 (2,932)
Citation 2

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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 3,099 (3,624)
Citation 21

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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
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, 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 2,271 (6,127)
Citation 6

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

10.

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 2,081 (7,069)
Citation 14

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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 800 (30,533)

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Buybacks, Equity Returns, Return Predictability, Equity Premium

12.

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 436 (68,286)
Citation 5

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Liquidity, Stocks, Portfolio Management, Mutual Funds

13.

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
Yale School of Management, Morningstar Investment Management, Morningstar Canada and Morningstar Investment Management
Downloads 254 (125,096)
Citation 2

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Offshore Hedge Funds: Survival and Performance 1989-1995

NBER Working Paper No. w5909
Number of pages: 34 Posted: 20 Jul 2000 Last Revised: 05 Oct 2010
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 119 (244,466)

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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 71 (342,756)
Citation 22

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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

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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
Zicklin School of Business, Baruch College and Yale School of Management
Downloads 82 (311,929)

Abstract:

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Real Estate

16.

Research Foundation Review 2018

CFA Institute Research Foundation Review 2018
Number of pages: 94 Posted: 23 Oct 2019
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, Fidante Partners, Fischer Francis Trees & Watts, Inc. and ProShare Advisors LLC
Downloads 65 (355,252)

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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

17.

The PAPM with Heterogeneous Preferences and Expectations

Number of pages: 32 Posted: 19 Sep 2019 Last Revised: 04 Nov 2019
Thomas M. Idzorek, Paul D. Kaplan and Roger G. Ibbotson
Morningstar Investment Management, Morningstar Canada and Yale School of Management
Downloads 52 (395,684)

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Heterogeneous Expectations, CAPM, pricing models, PAPM, Multiple Security Characteristics, Diverse opinions

18.

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

19.

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

20.

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

21.

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

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

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

23.

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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24.

"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

25.

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

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Portfolio Management, Asset Allocation

26.

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 Canada

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27.

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

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