Elroy Dimson

University of Cambridge - Judge Business School

Chairman, Centre for Endowment Asset Management

Trumpington Street

Cambridge, CB2 1AG

United Kingdom

London Business School

Professor Emeritus

Sussex Place

Regent's Park

London, NW1 4SA

United Kingdom

  • University of Cambridge - Judge Business School

    • Email
    • Fax: +44 700 607 7390

  • London Business School

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    • Tel: 44 20 7000 7000
    • Fax: 44 700 607 7390
SCHOLARLY PAPERS

32

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276

Scholarly Papers (32)

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1.

The Worldwide Equity Premium: A Smaller Puzzle

Chapter 11 of R Mehra (Ed), Handbook of the Equity Risk Premium. Elsevier, 2008, pages 467–514, AFA 2008 New Orleans Meetings Paper; EFA 2006 Zurich Meetings Paper
Number of pages: 41 Posted: 17 Mar 2006 Last Revised: 20 Mar 2016
Elroy Dimson, Paul Marsh and Mike Staunton
University of Cambridge - Judge Business School, London Business School - Institute of Finance and Accounting and London Business School - Institute of Finance and Accounting
Downloads 18,163 (129)
Citation 51

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Equity risk premium, long run returns, survivor bias, financial history, stocks bonds bills inflation

2.

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, Department of Finance & Accounting, University of Cambridge - Judge Business School and University of Cambridge - Judge Business School
Downloads 8,603 (516)
Citation 2

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

3.

The Norway Model

Journal of Portfolio Management, Vol. 38, No. 2, 2012, pages 67–81
Number of pages: 17 Posted: 04 Oct 2011 Last Revised: 20 Mar 2016
David Chambers, Elroy Dimson and Antti Ilmanen
University of Cambridge - Judge Business School, Department of Finance & Accounting, University of Cambridge - Judge Business School and AQR Capital Management
Downloads 7,320 (699)
Citation 1

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

4.

Equity Premia Around the World

Number of pages: 19 Posted: 08 Oct 2011 Last Revised: 19 Mar 2016
Elroy Dimson, Paul Marsh and Mike Staunton
University of Cambridge - Judge Business School, London Business School - Institute of Finance and Accounting and London Business School - Institute of Finance and Accounting
Downloads 5,865 (1,039)
Citation 3

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equity risk premium, long run returns, international evidence, stocks bonds bills inflation

5.

Irrational Optimism

Downloads 5,806 ( 1,062)

Irrational Optimism

Financial Analysts Journal, Vol. 60, No. 1, 2004, pages 16–25, LBS Accounting Subject Area Working Paper No. IFA397
Number of pages: 18 Posted: 21 Dec 2003 Last Revised: 20 Mar 2016
Elroy Dimson, Paul Marsh and Mike Staunton
University of Cambridge - Judge Business School, London Business School - Institute of Finance and Accounting and London Business School - Institute of Finance and Accounting
Downloads 5,806 (1,044)
Citation 12

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Portfolio management, asset allocation, long-run returns, shortfall analysis

Irrational Optimism

Financial Analysts Journal, Vol. 60, No. 1, pp. 15-25, January/February 2004
Posted: 15 Feb 2004
Elroy Dimson, Paul Marsh and Mike Staunton
University of Cambridge - Judge Business School, London Business School - Institute of Finance and Accounting and London Business School - Institute of Finance and Accounting

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Portfolio management: asset allocation; equity investments: fundamental analysis and valuation models

6.

Three Centuries of Asset Pricing

Downloads 5,283 ( 1,237)

Three Centuries of Asset Pricing

Journal of Banking and Finance, Vol. 23, No. 12, 1999, pages 1745–1769, LBS Institute of Finance and Accounting Working Paper No. IFA 385
Number of pages: 22 Posted: 11 Jan 2000 Last Revised: 20 Mar 2016
Elroy Dimson and Massoud Mussavian
University of Cambridge - Judge Business School and Cantab Capital Partners
Downloads 5,283 (1,223)
Citation 9

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Three Centuries of Asset Pricing

Journal of Banking and Finance, Vol 23, No 12, 1999, pages 1745–1769
Posted: 11 Jan 2000 Last Revised: 20 Mar 2016
Elroy Dimson and Massoud Mussavian
University of Cambridge - Judge Business School and Cantab Capital Partners

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7.

Active Ownership

Review of Financial Studies (RFS), Volume 28, Issue 12, pp. 3225-3268, 2015., Fox School of Business Research Paper No. 16-009
Number of pages: 55 Posted: 01 Oct 2012 Last Revised: 19 Mar 2016
Elroy Dimson, Oğuzhan Karakaş and Xi Li
University of Cambridge - Judge Business School, Cambridge Judge Business School - Department of Finance & Accounting and London School of Economics
Downloads 4,647 (1,545)
Citation 10

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Engagement, corporate social responsibility (CSR), environmental, social, and governance (ESG), socially responsible investing (SRI), universal ownership, shareholder activism

8.

Murphy's Law and Market Anomalies

Downloads 4,529 ( 1,610)
Citation 49

Murphy's Law and Market Anomalies

Journal of Portfolio Management, Vol. 25, No. 2, 1999, pages 53–69
Number of pages: 35 Posted: 24 Oct 1998 Last Revised: 20 Mar 2016
Elroy Dimson and Paul Marsh
University of Cambridge - Judge Business School and London Business School - Institute of Finance and Accounting
Downloads 4,529 (1,581)
Citation 49

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Murphy's Law and Market Anomalies

Journal of Portfolio Management, Vol. 25, No. 2, 1999, pages 53–69
Posted: 23 Feb 1999 Last Revised: 20 Mar 2016
Elroy Dimson and Paul Marsh
University of Cambridge - Judge Business School and London Business School - Institute of Finance and Accounting

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9.

Global Evidence on the Equity Risk Premium

Downloads 3,706 ( 2,307)
Citation 42

Global Evidence on the Equity Risk Premium

Journal of Applied Corporate Finance, Vol 15, No 4, pages 27–34, LBS Accounting Subject Area Working Paper No. IFA 385
Number of pages: 15 Posted: 11 Aug 2003 Last Revised: 20 Mar 2016
Elroy Dimson, Paul Marsh and Mike Staunton
University of Cambridge - Judge Business School, London Business School - Institute of Finance and Accounting and London Business School - Institute of Finance and Accounting
Downloads 3,706 (2,264)
Citation 42

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Equity risk premium, Long-term returns, Financial history, Survivorship, Required rate of return

Global Evidence on the Equity Risk Premium

Journal of Applied Corporate Finance, Vol. 15, No. 4, Summer 2003, pages 27–34
Posted: 11 Oct 2003 Last Revised: 20 Mar 2016
Elroy Dimson, Paul Marsh and Mike Staunton
University of Cambridge - Judge Business School, London Business School - Institute of Finance and Accounting and London Business School - Institute of Finance and Accounting

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Equity risk premium, Long-term returns, Financial history, Survivorship, Required rate of return

10.

Long-Run Global Capital Market Returns and Risk Premia

London Business School Accounting Subject Area No. 035
Number of pages: 19 Posted: 05 Feb 2002
Elroy Dimson, Paul Marsh and Mike Staunton
University of Cambridge - Judge Business School, London Business School - Institute of Finance and Accounting and London Business School - Institute of Finance and Accounting
Downloads 3,174 (3,038)
Citation 1

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Long-term returns, equity risk premium, financial market history, survivor bias

11.

Closed-End Funds: A Survey

Number of pages: 83 Posted: 26 Oct 1998
Elroy Dimson and Carolina Minio-Kozerski
University of Cambridge - Judge Business School and J.P. Morgan Chase & Co.
Downloads 2,689 (4,010)
Citation 39

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12.

The Price of Wine

Journal of Financial Economics (JFE), Vol. 118, No. 2, 2015, pages 431–449
Number of pages: 50 Posted: 07 Sep 2013 Last Revised: 19 Mar 2016
Elroy Dimson, Peter L. Rousseau and Christophe Spaenjers
University of Cambridge - Judge Business School, Vanderbilt University - Department of Economics and HEC Paris - Finance Department
Downloads 2,169 (5,752)

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wine prices; alternative investments; price indexes; psychic return; bubbles

13.

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, 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 1,907 (7,176)
Citation 2

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

14.

The Expected Illiquidity Premium: Evidence from Equity Index-Linked Bonds

Downloads 1,806 ( 7,905)
Citation 12

The Expected Illiquidity Premium: Evidence from Equity Index-Linked Bonds

London Business School Accounting Subject Area No. 014
Number of pages: 29 Posted: 31 Dec 2000
Elroy Dimson and Bernd Hanke
University of Cambridge - Judge Business School and London Business School - Institute of Finance and Accounting
Downloads 1,610 (9,341)
Citation 12

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Illiquidity, equity returns

The Expected Illiquidity Premium: Evidence from Equity Index-Linked Bonds

Review of Finance, Vol. 8, No. 1, pp. 19-47, 2004
Number of pages: 32 Posted: 18 Apr 2006 Last Revised: 20 Mar 2016
Elroy Dimson and Bernd Hanke
University of Cambridge - Judge Business School and Global Systematic Investors LLP
Downloads 196 (144,777)
Citation 11

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Liquidity, Asset Pricing

15.

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, Department of Finance & Accounting and University of Cambridge - Judge Business School
Downloads 1,298 (13,457)
Citation 14

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

16.

Stress Tests of Capital Requirements

96-50
Number of pages: 30 Posted: 28 Jan 1997
Elroy Dimson and Paul Marsh
University of Cambridge - Judge Business School and London Business School - Institute of Finance and Accounting
Downloads 1,081 (17,799)
Citation 4

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17.

The Investment Performance of Art and Other Collectibles

Chapter 10 of Anna Dempster (Ed), Risk and Uncertainty in the Art World, Bloomsbury Publishing, 2014, pages 219–238
Number of pages: 19 Posted: 02 Sep 2013 Last Revised: 19 Mar 2016
Elroy Dimson and Christophe Spaenjers
University of Cambridge - Judge Business School and HEC Paris - Finance Department
Downloads 1,028 (19,144)

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alternative investments, collectibles, luxury goods, price indexes, investment risks

18.

Capturing the Value Premium in the U.K. 1955-2001

Number of pages: 27 Posted: 12 Mar 2003
Elroy Dimson, Stefan Nagel and Garrett Quigley
University of Cambridge - Judge Business School, University of Chicago - Booth School of Business and Global Systematic Investors LLP
Downloads 885 (23,970)
Citation 19

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Value Premium, Book-to-Market, Trading Cost

19.

Ex Post: The Investment Performance of Collectible Stamps

Journal of Financial Economics (JFE), Vol. 100, No. 2, 2011, pages 443–458
Number of pages: 40 Posted: 06 Aug 2009 Last Revised: 20 Mar 2016
Elroy Dimson and Christophe Spaenjers
University of Cambridge - Judge Business School and HEC Paris - Finance Department
Downloads 849 (25,418)
Citation 4

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Alternative investments, Indexes, Long-term returns, Philately, Stamps

20.

Investing in Emotional Assets

Financial Analysts Journal, Vol. 70, No. 2, 2014, pages 18–22
Number of pages: 10 Posted: 31 Jan 2014 Last Revised: 19 Mar 2016
Elroy Dimson and Christophe Spaenjers
University of Cambridge - Judge Business School and HEC Paris - Finance Department
Downloads 636 (37,790)

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alternative investments, collectibles, luxury goods, price indexes, investment risks

21.

High Frequency Performance Monitoring

Downloads 627 ( 38,517)

High Frequency Performance Monitoring

London Business School Accounting Subject Area No. 024
Number of pages: 30 Posted: 11 Aug 2001
Elroy Dimson and Andrew Jackson
University of Cambridge - Judge Business School and Vinva Investment Management
Downloads 627 (37,938)
Citation 1

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Performance measurement; Investment management; High frequency monitoring

High Frequency Performance Monitoring

Journal of Portfolio Management, Vol. 27, No. 4, 2001
Posted: 18 Apr 2002
Elroy Dimson and Andrew Jackson
University of Cambridge - Judge Business School and Vinva Investment Management

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Performance measurement, Investment management, High frequency monitoring

22.

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, Department of Finance & Accounting and University of Cambridge - Judge Business School
Downloads 511 (50,189)

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

23.

Art as an Asset: Evidence from Keynes the Collector

Number of pages: 32 Posted: 09 Sep 2015 Last Revised: 30 Aug 2017
David Chambers, Elroy Dimson and Christophe Spaenjers
University of Cambridge - Judge Business School, Department of Finance & Accounting, University of Cambridge - Judge Business School and HEC Paris - Finance Department
Downloads 489 (52,970)

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

24.

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, Department of Finance & Accounting and University of Cambridge - Judge Business School
Downloads 396 (68,685)
Citation 1

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

25.

Keynes, King’s and Endowment Asset Management

Downloads 230 (120,256)

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, Department of Finance & Accounting, University of Cambridge - Judge Business School and University of Cambridge - Judge Business School
Downloads 230 (123,982)

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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, Department of Finance & Accounting, 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

26.

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, Department of Finance & Accounting and University of Cambridge - Judge Business School
Downloads 162 (171,946)

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

27.

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 - Department of Finance & Economics, 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, Department of Finance & Accounting
Downloads 81 (284,698)

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

28.

Keynes, King's and Endowment Asset Management

NBER Working Paper No. w20421
Number of pages: 39 Posted: 22 Sep 2014
David Chambers, Elroy Dimson and Justin Foo
University of Cambridge - Judge Business School, Department of Finance & Accounting, University of Cambridge - Judge Business School and University of Cambridge - Judge Business School
Downloads 26 (459,236)

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29.

Capturing the Value Premium in the United Kingdom

Financial Analysts Journal, Vol. 59, No. 6, pp. 35-45, November/December 2003
Posted: 25 Jan 2004 Last Revised: 07 Oct 2011
Elroy Dimson, Stefan Nagel and Garrett Quigley
University of Cambridge - Judge Business School, University of Chicago - Booth School of Business and Global Systematic Investors LLP

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Portfolio Management, equity strategies

30.

Risk and Return in the 20th and 21st Centuries

Business Strategy Review, Vol. 11, No. 2, Summer 2000
Posted: 05 Mar 2001
Elroy Dimson, Paul Marsh and Mike Staunton
University of Cambridge - Judge Business School, London Business School - Institute of Finance and Accounting and London Business School - Institute of Finance and Accounting

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31.

U.K. Financial Market Returns 1955-2000

Journal of Business, Vol. 74, No. 1, January 2001
Posted: 13 Feb 2001
Elroy Dimson and Paul Marsh
University of Cambridge - Judge Business School and London Business School - Institute of Finance and Accounting

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32.

A Brief History of Market Efficiency and Stock Market Anomalies

European Financial Management, Vol 4, No 1, March 1998
Posted: 25 Jun 1998
Elroy Dimson and Massoud Mussavian
University of Cambridge - Judge Business School and Cantab Capital Partners

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Other Papers (1)

Total Downloads: 76    Citations: 0
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1.

Coordinated Engagements

Number of pages: 46 Posted: 26 Jul 2018
Elroy Dimson, Oğuzhan Karakaş and Xi Li
University of Cambridge - Judge Business School, Cambridge Judge Business School - Department of Finance & Accounting and London School of Economics
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engagement, dialogue, activism, collaboration, coordination, corporate social responsibility (CSR), environmental social and governance (ESG), socially responsible investing (SRI)