Dedications
Authors' Biographies
I. Introduction
Opening Remarks and Motivation
Major Concepts and Roadmap Through the Book
II. The Lessons of History
1: History and the Equity Risk Premium
2: Roger G. Ibbotson and Rex Sinquefield, Journal of Business
January, 1976: Stocks, Bonds, Bills and Inflation: Year-by-Year
Historical Returns (1926-1974),
3: William N. Goetzmann, Roger G. Ibbotson, and Liang Peng, March
2001, The Journal of Financial Markets: A New Historical Database
for the NYSE 1815 to 1925: Performance and Predictability
4: Roger G. Ibbotson and Carol Fall, Journal of Portfolio
Management, Fall, 1979: The United States Market Wealth
Portfolio
5: Roger G. Ibbotson, Laurence Siegel and Kathryn S. Love, Journal
of Portfolio Management, Fall, 1985: World Wealth: U.S. and Foreign
Market Values and Returns
III. Demand, Supply, and Building Block Forecasting Methods
6: Roger G. Ibbotson and Larry Siegel, Investment Management
Review, September/October 1988: How to Forecast Long Run Asset
Returns
7: Roger G. Ibbotson, Laurence B. Siegel, and Jeffrey J. Diermeier,
Financial Analysts Journal, January/February, 1984: The Demand for
Capital Market Returns: A New Equilibrium Theory
8: Jeffrey J. Diermeier, Roger G. Ibbotson, and Laurence B. Siegel,
Financial Analysts Journal, March/April, 1984: The Supply of
Capital Market Returns
9: Roger G. Ibbotson, TIAA/CREF Investment Forum, June 2002:
Building the Future from the Past
10: Roger G. Ibbotson and Peng Chen, Financial Analysts Journal,
January/February, 2003: Long Run Stock Returns: Participating in
the Real Economy
IV. Simulating and Forecasting
11: Roger G. Ibbotson and Rex Sinquefield, Journal of Business,
July, 1976 pp. 318-338: Stocks, Bonds, Bills, and Inflation:
Simulations of the Future (1976-2000)
12: Roger G. Ibbotson, Ibbotson Associates, 1999: Predictions of
the Past and Forecasts for the Future: 1976-2025
13: William N. Goetzmann and Franklin Edwards, Journal of Portfolio
Management; 20(4), Summer 1994, pages: Short Horizon Inputs and
Long Horizon Portfolio Choice
V. Survivorship and the Selection Bias
14: Stephen Brown, William N. Goetzmann, and Stephen Ross, Journal
of Finance 50(3), July 1995: Survival
15: Stephen Brown, William N. Goetzmann, Roger G. Ibbotson, and
Stephen A. Ross, Review of Financial Studies v 5(4), 1992:
Survivorship Bias in Performance Studies
16: William N. Goetzmann, and Philippe Jorion, Journal of Finance,
54(3), June 1999: Global Stock Markets in the Twentieth Century
17: William N. Goetzmann and Philippe Jorion, Journal of Financial
and Quantitative Analysis, (1), March 1999: Re-emerging Markets
VI. Predicting Variations
18: William N. Goetzmann with Stephen Brown and Alok Kumar, Journal
of Finance, August 1998: The Dow Theory: William Peter Hamilton's
Track Record Reconsidered
19: William N. Goetzmann, Journal of Business; 66(2), April 1993:
Patterns in Three Centuries of Stock Market Prices
20: William N. Goetzmann, Yale School of Management Working Paper,
1991: Bootstrapping Tests of Long-Term Stock Market Efficiency
21: William N. Goetzmann and Philippe Jorion, Journal of Finance,
48(2), June 1993: Testing the Predictive Power of Dividend
Yields
22: William N. Goetzmann and Philippe Jorion, Journal of Business,
68(4), October 1995: A Longer Look at Dividend Yields
23: Roger G. Ibbotson and Paul D. Kaplan, Financial Analysts
Journal, (56), 1, January/February 2000: Does Asset Allocation
Policy Explain 40%, 90%, or 100% of Performance?
References
Robert Ibbotson is an expert on capital market returns, cost of
capital, and international investing. A member of the Yale School
of Management faculty since 1986, he joined Yale from the
University of Chicago, where he served as the director of the
Center for Research in Security Prices (CRSP). He is Chairman and
Founder of Ibbotson Associates in Chicago, New York, and Tokyo,
which provides asset allocation advice, consulting, software, data,
and
financial publishing for financial institutions and investment
advisors. He is also a Partner in Zebra Capital Management, LLC,
which manages hedge funds. Professor Ibbotson is the author of
numerous books and
articles, including the annual Stocks, Bonds, Bills, and Inflation
Yearbook.
Will Goetzmann is the Edwin J. Beinecke Professor of Finance and
Management Studies at the Yale School of Management and a Research
Associate of the National Bureau of Economic Research. He currently
serves as the Director of the International Center for Finance at
Yale, an interdisciplinary research organization focused on
sponsoring and diseminating academic research in finance. He has
taught at the Yale School of Management since 1994 and previously
taught at Columbia
Business School. He holds a B.A., an M.B.A., and a Ph.D. from Yale.
An expert on a diverse range of investments, Will Goetzmann's
research topics include the behavior of individual investors,
global investing, financial
market history, hedge funds, mutual funds, real estate, and art as
an investment.
"William Goetzmann and Roger Ibbotson have produced a searching and
comprehensive analysis of how history reveals the forces that shape
risk and return in the stock market. But HURRAH! their work is also
eminently readable. All investors, economic historians, and
financial academics should read this book--and hurry up about
it."--Peter L. Bernstein, Publisher of Economics and Portfolio
Strategy and Consulting Editor of The Journal of Portfolio
Management
"Understanding the stock market is really about understanding the
premium that investors demand for holding stocks over less risky
assets. Not surprisingly, then, the 'equity premium puzzle' i.e.,
the seemingly inexplicably high historical excess returns on the
stock market, has become a focus of extensive research and debate.
To quote Goetzmann and Ibbotson, 'history matters,' and with the
deceptively simple act of putting it together, they have shown us
just
how much it does and how much we can learn from the past. They have
also staked their position firmly in the camp of those who believe
that with careful statistical analysis of the historical
record,
and, in particular, with a clear understanding of the role of
survivorship bias, the puzzle can be explained. Whatever prior
views they may hold, both the professional and the interested
amateur will learn much from this work."--Stephen A. Ross, Franco
Modigliani Professor of Finance and Economics, MIT
"William Goetzmann and Roger Ibbotson have produced a searching and
comprehensive analysis of how history reveals the forces that shape
risk and return in the stock market. But HURRAH! their work is also
eminently readable. All investors, economic historians, and
financial academics should read this book--and hurry up about
it."--Peter L. Bernstein, Publisher of Economics and Portfolio
Strategy and Consulting Editor of The Journal of Portfolio
Management
"Understanding the stock market is really about understanding the
premium that investors demand for holding stocks over less risky
assets. Not surprisingly, then, the 'equity premium puzzle' i.e.,
the seemingly inexplicably high historical excess returns on the
stock market, has become a focus of extensive research and debate.
To quote Goetzmann and Ibbotson, 'history matters,' and with the
deceptively simple act of putting it together, they have shown us
just
how much it does and how much we can learn from the past. They have
also staked their position firmly in the camp of those who believe
that with careful statistical analysis of the historical
record,
and, in particular, with a clear understanding of the role of
survivorship bias, the puzzle can be explained. Whatever prior
views they may hold, both the professional and the interested
amateur will learn much from this work."--Stephen A. Ross, Franco
Modigliani Professor of Finance and Economics, MIT
|
Ask a Question About this Product More... |
|
