U.K. Financial Market Returns 1955-2000

Posted: 13 Feb 2001

See all articles by Elroy Dimson

Elroy Dimson

University of Cambridge - Judge Business School; London Business School; European Corporate Governance Institute (ECGI)

Paul Marsh

London Business School - Institute of Finance and Accounting

Abstract

We present and analyze new monthly index series for U.K. financial assets, covering equities, bonds, bills, and inflation. The data are consistent with the CRSP/Ibbotson series for the United States. We use our indices to estimate equity and bond premia and to make international comparisons, especially with the United States, Germany, and Japan. We illustrate potential uses of the new series by investigating stock market seasonality, inflation-linked bonds, real dividend growth rates, and the small-firm effect. While some of our findings resemble U.S results, we also report differences between U.K. and U.S. stock market behavior.

Suggested Citation

Dimson, Elroy and Marsh, Paul, U.K. Financial Market Returns 1955-2000. Journal of Business, Vol. 74, No. 1, January 2001, Available at SSRN: https://ssrn.com/abstract=247770

Elroy Dimson (Contact Author)

University of Cambridge - Judge Business School ( email )

Trumpington Street
Cambridge, CB2 1AG
United Kingdom
+44 700 607 7390 (Fax)

London Business School ( email )

Sussex Place
Regent's Park
London, NW1 4SA
United Kingdom
44 20 7000 7000 (Phone)
44 700 607 7390 (Fax)

European Corporate Governance Institute (ECGI) ( email )

c/o the Royal Academies of Belgium
Rue Ducale 1 Hertogsstraat
1000 Brussels
Belgium

Paul Marsh

London Business School - Institute of Finance and Accounting ( email )

Sussex Place
Regent's Park
London NW1 4SA
United Kingdom

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