David Chambers

University of Cambridge - Judge Business School

Trumpington Street

Cambridge, CB2 1AG

United Kingdom

CEPR

London

United Kingdom

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SCHOLARLY PAPERS

26

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125

Scholarly Papers (26)

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1.

Keynes the Stock Market Investor: A Quantitative Analysis

Journal of Financial and Quantitative Analysis (JFQA), Vol 50, No 4, 2015, pages 431–449
Number of pages: 54 Posted: 17 Mar 2012 Last Revised: 19 Mar 2016
David Chambers, Elroy Dimson and Justin Foo
University of Cambridge - Judge Business School, University of Cambridge - Judge Business School and University of Cambridge - Judge Business School
Downloads 10,867 (1,008)
Citation 14

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Keynes, performance measurement, asset allocation, behavioral finance, value investing, endowment, innovation

2.

The Norway Model

Journal of Portfolio Management, Vol. 38, No. 2, 2012, pages 67–81, https://doi.org/10.3905/jpm.2012.38.2.067
Number of pages: 17 Posted: 17 Jul 2019
David Chambers, Elroy Dimson and Antti Ilmanen
University of Cambridge - Judge Business School, University of Cambridge - Judge Business School and AQR Capital Management
Downloads 9,132 (1,337)
Citation 27

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Sovereign wealth funds, endowment, pensions, Norway, Government Pension Fund Global

3.

Long-Run Asset Returns

Annual Review of Financial Economics, volume 16, issue 1, 2024 (forthcoming) [10.1146/annurev-financial-082123-105515]
Number of pages: 38 Posted: 03 Dec 2024
David Chambers, Elroy Dimson, Antti Ilmanen and Paul Rintamäki
University of Cambridge - Judge Business School, University of Cambridge - Judge Business School, AQR Capital Management and Aalto University
Downloads 4,412 (4,615)

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Asset pricing, historical returns, stock market index, investment management, risk premium, stocks, bonds, real estate

4.

The Rate of Return on Real Estate: Long-Run Micro-Level Evidence

HEC Paris Research Paper No. FIN-2019-1342
Number of pages: 59 Posted: 25 Jun 2019 Last Revised: 06 Jan 2021
David Chambers, Christophe Spaenjers and Eva Steiner
University of Cambridge - Judge Business School, University of Colorado Boulder - Leeds School of Business and Pennsylvania State University - Smeal College of Business
Downloads 2,006 (16,345)
Citation 8

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real estate, income growth, income yields, property prices, long-run returns

5.

IPO Underpricing Over the Very Long Run

Journal of Finance, Vol. 64, No. 3, June 2009, pages 1407–1443
Number of pages: 56 Posted: 20 Mar 2006 Last Revised: 20 Mar 2016
David Chambers and Elroy Dimson
University of Cambridge - Judge Business School and University of Cambridge - Judge Business School
Downloads 1,753 (20,267)
Citation 20

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Initial public offering, underpricing, regulation, investor protection, financial history

6.

Seventy-Five Years of Investing for Future Generations

Financial Analysts Journal, 2020, 76(4): 5–21
Number of pages: 35 Posted: 02 Oct 2020 Last Revised: 11 Nov 2020
David Chambers, Elroy Dimson and Charikleia Kaffe
University of Cambridge - Judge Business School, University of Cambridge - Judge Business School and University of Cambridge - Judge Business School
Downloads 1,134 (38,573)

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Endowments and Foundations, Long Horizon Investing, Herding, Counter-Cyclical Investing, Asset Allocation

7.

Financial Market History: Reflections on the Past for Investors Today

CFA Institute Research Foundation 2016M-3
Number of pages: 306 Posted: 10 Mar 2017
David Chambers and Elroy Dimson
University of Cambridge - Judge Business School and University of Cambridge - Judge Business School
Downloads 1,121 (39,254)
Citation 1

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financial market history, dimson, chambers, CFA, CFA Institute, CFA Institute Research Foundation

8.

Law, Politics and the Rise and Fall of German Stock Market Development, 1870-1938

European Corporate Governance Institute (ECGI) - Law Working Paper No. 283/2015, University of Cambridge Faculty of Law Research Paper No. 4/2015
Number of pages: 51 Posted: 13 Jan 2015 Last Revised: 12 Jun 2017
Carsten Burhop, David Chambers and Brian R. Cheffins
Max Planck Institute for Research on Collective Goods, University of Cambridge - Judge Business School and University of Cambridge - Faculty of Law
Downloads 1,023 (44,801)
Citation 2

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Initial public offerings; Germany; Financial History; Corporate Law; Stock Markets

9.

To Divest or to Engage? A Case Study of Climate-Change Activism

Number of pages: 16 Posted: 15 Oct 2019
David Chambers, Elroy Dimson and Ellen Quigley
University of Cambridge - Judge Business School, University of Cambridge - Judge Business School and University of Cambridge
Downloads 969 (48,357)
Citation 2

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Climate change, responsible investing, fossil fuel, ESG, activism, endowments, portfolio management

10.

Art as an Asset: Evidence from Keynes the Collector

Downloads 907 (52,922)
Citation 10

Art as an Asset: Evidence from Keynes the Collector

Number of pages: 39 Posted: 26 Feb 2020 Last Revised: 11 Mar 2020
David Chambers, Elroy Dimson and Christophe Spaenjers
University of Cambridge - Judge Business School, University of Cambridge - Judge Business School and University of Colorado Boulder - Leeds School of Business
Downloads 897 (52,942)
Citation 1

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alternative investments; art; portfolios; price indexes; indivisible assets; concentration

Art as an Asset: Evidence from Keynes the Collector

CEPR Discussion Paper No. DP14357
Number of pages: 42 Posted: 11 Feb 2020 Last Revised: 02 Mar 2020
David Chambers, Elroy Dimson and Christophe Spaenjers
University of Cambridge - Judge Business School, University of Cambridge - Judge Business School and University of Colorado Boulder - Leeds School of Business
Downloads 10 (1,176,261)
Citation 9
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11.

John Maynard Keynes, Investment Innovator

Journal of Economic Perspectives, 2013, Vol 27, No 3, pages 1–18
Number of pages: 24 Posted: 30 Jun 2013 Last Revised: 20 Mar 2016
David Chambers and Elroy Dimson
University of Cambridge - Judge Business School and University of Cambridge - Judge Business School
Downloads 679 (77,673)
Citation 7

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Keynes, endowment, investment, history, risk premium, value investing

12.

If You're So Smart: John Maynard Keynes and Currency Speculation in the Interwar Years

Forthcoming, Journal of Economic History
Number of pages: 51 Posted: 03 Dec 2015
Olivier Accominotti and David Chambers
London School of Economics & Political Science (LSE) and University of Cambridge - Judge Business School
Downloads 614 (88,265)
Citation 3

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carry, momentum, foreign exchange, currency markets, currency crises

13.

Regulating IPOs: Evidence from Going Public in London and Berlin, 1900-1913

ECGI - Law Working Paper No. 180/2011, University of Cambridge Faculty of Law Research Paper No. 2/2012
Number of pages: 49 Posted: 12 Jul 2011 Last Revised: 16 Mar 2012
Carsten Burhop, David Chambers and Brian R. Cheffins
Max Planck Institute for Research on Collective Goods, University of Cambridge - Judge Business School and University of Cambridge - Faculty of Law
Downloads 479 (120,308)
Citation 10

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law and finance, initial public offering, regulation, investor protection, financial history

14.

The British Origins of the U.S. Endowment Model

Financial Analysts Journal, Vol 71, No 2, pages 8–12, 2015
Number of pages: 13 Posted: 21 Dec 2014 Last Revised: 20 Mar 2016
David Chambers and Elroy Dimson
University of Cambridge - Judge Business School and University of Cambridge - Judge Business School
Downloads 456 (127,236)
Citation 1

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Long horizon investing, Yale, Keynes, Investment strategy, illiquid assets

15.

Keynes, King’s and Endowment Asset Management

Downloads 439 (130,277)

Keynes, King’s and Endowment Asset Management

Chapter 4 of J Brown and C Hoxby (Eds), How the Financial Crisis and Great Recession Affected Higher Education, University of Chicago Press, 2015, pages 127–150
Number of pages: 38 Posted: 23 Sep 2014 Last Revised: 20 Mar 2016
David Chambers, Elroy Dimson and Justin Foo
University of Cambridge - Judge Business School, University of Cambridge - Judge Business School and University of Cambridge - Judge Business School
Downloads 439 (131,701)

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King's College Cambridge, John Maynard Keynes, behavioral finance, endoment asset management, financial history

Keynes, King’s and Endowment Asset Management

Chapter 4 of J Brown and C Hoxby (Eds), How the Financial Crisis and Great Recession Affected Higher Education, University of Chicago Press, 2015, pages 127–150
Posted: 20 Sep 2014 Last Revised: 20 Mar 2016
David Chambers, Elroy Dimson and Justin Foo
University of Cambridge - Judge Business School, University of Cambridge - Judge Business School and University of Cambridge - Judge Business School

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King’s College Cambridge, John Maynard Keynes, behavioral finance, endowment asset management; financial history

16.

Tail Risk Management for Multi-Asset Multi-Factor Strategies

Risk & Reward, 2018, 4th issue, pp. 14-20
Number of pages: 9 Posted: 20 Feb 2019
David Chambers, Harald Lohre and Carsten Rother
University of Cambridge - Judge Business School, Robeco Quantitative Investments and Invesco
Downloads 429 (136,803)
Citation 1

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Factor Investing, Tail Risk Management, Maximum Diversification, Risk Parity

17.

The First Global Emerging Markets Investor: Foreign & Colonial Investment Trust 1880-1913

Explorations in Economic History (Forthcoming)
Number of pages: 45 Posted: 18 Mar 2012 Last Revised: 02 Oct 2013
Rui Esteves and David Chambers
Graduate Institute of International and Development Studies (IHEID) and University of Cambridge - Judge Business School
Downloads 417 (141,483)
Citation 3

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portfolio choice, closed end funds, mutual funds, financial innovation, emerging markets, financial crisis, contagion, globalization

18.

Currency Regimes and the Carry Trade

Downloads 416 (141,851)
Citation 2

Currency Regimes and the Carry Trade

Journal of Financial and Quantitative Analysis, Forthcoming
Number of pages: 72 Posted: 29 Nov 2017 Last Revised: 03 Mar 2019
Olivier Accominotti, Jason Cen, David Chambers and Ian W. Marsh
London School of Economics & Political Science (LSE), University of Exeter Business School, University of Cambridge - Judge Business School and City University London - The Business School
Downloads 410 (142,806)
Citation 2

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Exchange rates, Carry strategy, Currency factors, Floating currencies

Currency Regimes and the Carry Trade

CEPR Discussion Paper No. DP13571
Number of pages: 75 Posted: 12 Mar 2019
Olivier Accominotti, Jason Cen, David Chambers and Ian W. Marsh
London School of Economics & Political Science (LSE), University of Exeter Business School, University of Cambridge - Judge Business School and City University London - The Business School
Downloads 6 (1,228,294)
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carry trade, Exchange Rate Regime

19.

Market and Regional Segmentation and Risk Premia in the First Era of Financial Globalization

Darden Business School Working Paper No. 2179088
Number of pages: 56 Posted: 23 Nov 2012 Last Revised: 21 Dec 2017
David Chambers, Sergei Sarkissian and Michael J. Schill
University of Cambridge - Judge Business School, McGill University and University of Virginia - Darden School of Business
Downloads 370 (161,768)
Citation 4

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Cross-listing; Economic geography; Market integration; Stock exchanges

20.

Out-of-Sample Evidence on the Returns to Currency Trading

Downloads 354 (169,804)
Citation 3

Out-of-Sample Evidence on the Returns to Currency Trading

Number of pages: 50 Posted: 15 Jul 2013 Last Revised: 02 Dec 2015
Olivier Accominotti and David Chambers
London School of Economics & Political Science (LSE) and University of Cambridge - Judge Business School
Downloads 351 (169,935)
Citation 3

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Out-of-Sample Evidence on the Returns to Currency Trading

CEPR Discussion Paper No. DP9852
Number of pages: 53 Posted: 02 Jun 2014
Olivier Accominotti and David Chambers
London School of Economics & Political Science (LSE) and University of Cambridge - Judge Business School
Downloads 3 (1,266,758)
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carry trade, currency trading strategies, Keynes, momentum, value

21.

Ownership Dispersion and the London Stock Exchange’s 'Two-Thirds Rule': An Empirical Test

University of Cambridge Faculty of Law Research Paper No. 17/2012
Number of pages: 47 Posted: 27 Jun 2012 Last Revised: 18 Jul 2012
Brian R. Cheffins, Dmitri Koustas and David Chambers
University of Cambridge - Faculty of Law, University of California, Berkeley - Department of Economics and University of Cambridge - Judge Business School
Downloads 295 (206,428)
Citation 3

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law and finance, London Stock Exchange, initial public offerings, securities regulation

22.

Gentlemanly Capitalism Revisited: A Case Study of the Underpricing of Initial Public Offerings on the London Stock Exchange 1946-86

Number of pages: 38 Posted: 07 Mar 2008
David Chambers
University of Cambridge - Judge Business School
Downloads 215 (282,196)
Citation 2

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IPO, auction, tender offer, underpricing, British capital market failure

23.

Commodity Option Pricing Efficiency before Black Scholes Merton

Downloads 207 (292,354)
Citation 2

Commodity Option Pricing Efficiency before Black Scholes Merton

Number of pages: 41 Posted: 05 Sep 2019
David Chambers and Rasheed Saleuddin
University of Cambridge - Judge Business School and University of Cambridge
Downloads 205 (293,963)

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options, warrants, Black-Scholes, commodities, London Metals Exchange, market efficiency, performativity

Commodity Option Pricing Efficiency Before Black Scholes Merton

CEPR Discussion Paper No. DP13975
Number of pages: 44 Posted: 07 Oct 2019
David Chambers
University of Cambridge - Judge Business School
Downloads 2 (1,279,194)
Citation 2
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Black-Scholes, commodities, London Metals Exchange, Market Efficiency, Options, Performativity, Warrants

24.

Research Foundation Year in Review -- 2012

CFA Institute Research Foundation R2013
Number of pages: 76 Posted: 11 Jun 2015 Last Revised: 20 Mar 2016
Antti Ilmanen, Richard Taffler, David Tuckett, Zvi Bodie, Laurence B. Siegel, Lisa Stanton, Momtchil Pojarliev, Richard M. Levich, Stephen Wilcox, David Adler, Thomas Oberlechner, Richard Sandor, Elroy Dimson, Jeffery Bailey, Bud Haslett and David Chambers
AQR Capital Management, University of Warwick - Finance Group, University College London - Centre for the Study of Decision-Making Uncertainty, Boston University, CFA Institute Research Foundation, CFA Institute, Fischer Francis Trees & Watts, Inc., New York University (NYU) - Department of Finance, Minnesota State University, Mankato, CFA Institute, Webster University, Environmental Financial Products, LLC, University of Cambridge - Judge Business School, Target Corporation, CFA Institute Research Foundation and University of Cambridge - Judge Business School
Downloads 194 (310,385)

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Expected Returns, emotional finance, currency investing, life-cycle investing, inflation, liquidity, financial frictions, ethics, derivatives, equity risk premium

25.

Keynes, King's and Endowment Asset Management

NBER Working Paper No. w20421
Number of pages: 39 Posted: 22 Sep 2014 Last Revised: 20 Apr 2023
David Chambers, Elroy Dimson and Justin Foo
University of Cambridge - Judge Business School, University of Cambridge - Judge Business School and University of Cambridge - Judge Business School
Downloads 98 (535,007)

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26.

The More Things Change, The More They Stay the Same: Why Do Mutual Funds Change Sub-advisors?

Posted: 14 Nov 2021
Julia Arnold, David Chambers, Pedro Saffi and Xinrui Zheng
Imperial College London, University of Cambridge - Judge Business School, University of Cambridge - Judge Business School and Zhongnan University of Economics and Law

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Mutual Funds, sub-advisors, managerial turnover, return-chasing, competition.