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Author:   William N. Goetzmann (, Yale University) ,  Roger G. Ibbotson (, Yale University)
Publisher:   Oxford University Press Inc
Imprint:   Oxford University Press Inc
Dimensions:   Width: 23.60cm , Height: 3.30cm , Length: 15.20cm
Weight:   0.950kg
ISBN:  

9780195148145

ISBN 10:   0195148142
Pages:   568
Publication Date:   14 December 2006
Audience:   Professional and scholarly ,  Professional & Vocational
Format:   Hardback
Publisher's Status:   Active
Availability:   Manufactured on demand  
We will order this item for you from a manufactured on demand supplier.

Table of Contents

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

Reviews

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<br> 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<br>

Author Information

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.

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