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Rethinking the Equity Risk Premium

Brett Hammond, Martin Leibowitz, and Laurence Siegel (Eds), Rethinking the Equity Premium, Research Foundation of CFA Institute, 2011-1

164 Pages Posted: 12 Jun 2015 Last revised: 19 Mar 2016

See all articles by P. Brett Hammond

P. Brett Hammond

Pension Research Council

Martin L. Leibowitz

Teachers Insurance and Annuity Association College Retirement Equities Fund (TIAA-CREF)

Laurence B. Siegel

CFA Institute Research Foundation

Roger G. Ibbotson

Yale School of Management; Zebra Capital Management, LLC

Clifford S. Asness

AQR Capital Management, LLC

Elroy Dimson

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

Paul Marsh

London Business School - Institute of Finance and Accounting

Mike Staunton

London Business School - Institute of Finance and Accounting

Richard C. Grinold

Barclays

Kenneth F. Kroner

BlackRock, Inc - San Francisco

Robert D. Arnott

Research Affiliates, LLC

Antti Ilmanen

AQR Capital Management

Peng Cheng

Xi'an Jiaotong - Liverpool University - International Business School Suzhou

Andrew Ang

BlackRock, Inc

Zhang Xiaoyan

Independent

Jeremy J. Siegel

University of Pennsylvania - Finance Department

Rajnish Mehra

Arizona State University (ASU) - W.P Carey School of Business, Department of Economics; National Bureau of Economic Research (NBER)

Date Written: June 9, 2015

Abstract

In 2001, a small group of academics and practitioners met to discuss the equity risk premium (ERP). Ten years later, in 2011, a similar discussion took place, with participants writing up their thoughts for this volume. The result is a rich set of papers that practitioners may find useful in developing their own approach to the subject.

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

JEL Classification: G1, G2

Suggested Citation: Suggested Citation

Hammond, Paul Brett and Leibowitz, Martin L. and Siegel, Laurence B. and Ibbotson, Roger G. and Asness, Cliff S. and Dimson, Elroy and Marsh, Paul and Staunton, Mike and Grinold, Richard C. and Kroner, Kenneth F. and Arnott, Robert D. and Ilmanen, Antti S. and Cheng, Peng and Ang, Andrew and Xiaoyan, Zhang and Siegel, Jeremy J. and Mehra, Rajnish, Rethinking the Equity Risk Premium (June 9, 2015). Brett Hammond, Martin Leibowitz, and Laurence Siegel (Eds), Rethinking the Equity Premium, Research Foundation of CFA Institute, 2011-1, Available at SSRN: https://ssrn.com/abstract=2616249

Paul Brett Hammond

Pension Research Council ( email )

3641 Locust Walk
Philadelphia, PA 19104-6365
United States
9142629908 (Phone)

Martin L. Leibowitz

Teachers Insurance and Annuity Association College Retirement Equities Fund (TIAA-CREF) ( email )

730 Third Avenue
New York, NY 10017-3206
United States

Laurence B. Siegel (Contact Author)

CFA Institute Research Foundation ( email )

United States

Roger G. Ibbotson

Yale School of Management ( email )

165 Whitney Avenue
P.O. Box 208200
New Haven, CT 06520-8200
United States
203-432-6021 (Phone)
203-432-6970 (Fax)

Zebra Capital Management, LLC ( email )

2187 Atlantic Street
Stamford, CT 06902
United States
203 701 5900 (Phone)

Cliff S. Asness

AQR Capital Management, LLC ( email )

Two Greenwich Plaza, 3rd Floor
Greenwich, CT 06830
United States
203-742-3601 (Phone)
203-742-3101 (Fax)

HOME PAGE: http://www.aqrcapital.com

Elroy Dimson

University of Cambridge - Judge Business School ( email )

Trumpington Street
Cambridge, CB2 1AG
United Kingdom
+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

Mike Staunton

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

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

Richard C. Grinold

Barclays ( email )

San Francisco, CA 94105
United States

Kenneth F. Kroner

BlackRock, Inc - San Francisco ( email )

400 Howard Street
San Francisco, CA 94105
United States

Robert D. Arnott

Research Affiliates, LLC ( email )

660 Newport Center Dr
Ste 300
Newport Beach, CA 92660
United States
949-325-8700 (Phone)
949-325-8901 (Fax)

HOME PAGE: http://www.researchaffiliates.com

Antti S. Ilmanen

AQR Capital Management ( email )

United Kingdom
+447887475184 (Phone)

Peng Cheng

Xi'an Jiaotong - Liverpool University - International Business School Suzhou ( email )

26 Xianning W Rd.
Dushu Lake Higher Education Town
Suzhou, Jiangsu Province 215123
China

Andrew Ang

BlackRock, Inc ( email )

55 East 52nd Street
New York City, NY 10055
United States

Zhang Xiaoyan

Independent ( email )

Jeremy J. Siegel

University of Pennsylvania - Finance Department ( email )

The Wharton School
3620 Locust Walk
Philadelphia, PA 19104
United States

Rajnish Mehra

Arizona State University (ASU) - W.P Carey School of Business, Department of Economics ( email )

Tempe, AZ 85287-3806
United States
480 965 6335 (Phone)

National Bureau of Economic Research (NBER)

1050 Massachusetts Avenue
Cambridge, MA 02138
United States

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