Rethinking the Equity Risk Premium

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

Paul Brett Hammond

Capital Group

Martin L. Leibowitz

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

Laurence B. Siegel

CFA Institute Research Foundation; Ford 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; London Business School

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

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

Hammond, Paul Brett and Leibowitz, Martin L. and Siegel, Laurence B. and Ibbotson, Roger G. and Asness, Clifford 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 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

Capital Group ( email )

333 S. Hope Street, 53rd Floor
Los Angeles, CA 90071
United States

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

Ford Foundation ( email )

320 East 43rd Street
New York, NY 10017
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 )

612 Wheelers Farms Road
Milford, CT 06461
United States

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 20 7000 8212 (Phone)
+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)

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 ( email )

400 Howard Street
San Francisco, CA 94105
United States

Robert D. Arnott

Research Affiliates, LLC ( email )

620 Newport Center Dr
Ste 900
Newport Beach, CA 92660
United States
949-325-8700 (Phone)
949-325-8901 (Fax)

HOME PAGE: http://www.researchaffiliates.com/Our%20Firm/Our%20Team/Pages/Rob-Arnott.aspx

Antti S. Ilmanen

AQR Capital Management ( email )

United Kingdom
+447887475184 (Phone)

Peng Cheng

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

111 Ren Ai Road
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 )

No Address Available

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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