Elroy Dimson

University of Cambridge - Judge Business School

Chairman, Centre for Endowment Asset Management

Trumpington Street

Cambridge, CB2 1AG

United Kingdom

European Corporate Governance Institute (ECGI)

c/o the Royal Academies of Belgium

Rue Ducale 1 Hertogsstraat

1000 Brussels

Belgium

  • University of Cambridge - Judge Business School

    • Email
    • Fax: +44 700 607 7390

  • European Corporate Governance Institute (ECGI)

SCHOLARLY PAPERS

38

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Top 151

in Total Papers Downloads

125,013

TOTAL CITATIONS

584

Scholarly Papers (38)

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1.

The Worldwide Equity Premium: A Smaller Puzzle

Chapter 11 of R Mehra (Ed), Handbook of the Equity Risk Premium. Elsevier, 2008, pages 467–514, AFA 2008 New Orleans Meetings Paper; EFA 2006 Zurich Meetings Paper
Number of pages: 41 Posted: 17 Mar 2006 Last Revised: 20 Mar 2016
Elroy Dimson, Paul Marsh and Mike Staunton
University of Cambridge - Judge Business School, London Business School - Institute of Finance and Accounting and London Business School - Institute of Finance and Accounting
Downloads 20,449 (349)
Citation 17

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Equity risk premium, long run returns, survivor bias, financial history, stocks bonds bills inflation

2.

Keynes the Stock Market Investor: A Quantitative Analysis

Journal of Financial and Quantitative Analysis (JFQA), Vol 50, No 4, 2015, pages 431–449
Number of pages: 54 Posted: 17 Mar 2012 Last Revised: 19 Mar 2016
David Chambers, Elroy Dimson and Justin Foo
University of Cambridge - Judge Business School, University of Cambridge - Judge Business School and University of Cambridge - Judge Business School
Downloads 10,986 (1,069)
Citation 14

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Keynes, performance measurement, asset allocation, behavioral finance, value investing, endowment, innovation

3.

The Norway Model

Journal of Portfolio Management, Vol. 38, No. 2, 2012, pages 67–81, https://doi.org/10.3905/jpm.2012.38.2.067
Number of pages: 17 Posted: 17 Jul 2019
David Chambers, Elroy Dimson and Antti Ilmanen
University of Cambridge - Judge Business School, University of Cambridge - Judge Business School and AQR Capital Management
Downloads 9,248 (1,396)
Citation 27

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Sovereign wealth funds, endowment, pensions, Norway, Government Pension Fund Global

4.

Active Ownership

Review of Financial Studies (RFS), Volume 28, Issue 12, pp. 3225-3268, 2015., Fox School of Business Research Paper No. 16-009
Number of pages: 55 Posted: 01 Oct 2012 Last Revised: 19 Mar 2016
Elroy Dimson, Oğuzhan Karakaş and Xi Li
University of Cambridge - Judge Business School, Cambridge Judge Business School - Finance Subject Group and London School of Economics
Downloads 8,990 (1,472)
Citation 291

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Engagement, corporate social responsibility (CSR), environmental, social, and governance (ESG), socially responsible investing (SRI), universal ownership, shareholder activism

5.

Equity Premia Around the World

Number of pages: 19 Posted: 08 Oct 2011 Last Revised: 19 Mar 2016
Elroy Dimson, Paul Marsh and Mike Staunton
University of Cambridge - Judge Business School, London Business School - Institute of Finance and Accounting and London Business School - Institute of Finance and Accounting
Downloads 8,479 (1,646)
Citation 23

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equity risk premium, long run returns, international evidence, stocks bonds bills inflation

6.

Irrational Optimism

Downloads 6,421 ( 2,611)
Citation 9

Irrational Optimism

Financial Analysts Journal, Vol. 60, No. 1, 2004, pages 16–25, LBS Accounting Subject Area Working Paper No. IFA397
Number of pages: 18 Posted: 21 Dec 2003 Last Revised: 20 Mar 2016
Elroy Dimson, Paul Marsh and Mike Staunton
University of Cambridge - Judge Business School, London Business School - Institute of Finance and Accounting and London Business School - Institute of Finance and Accounting
Downloads 6,421 (2,580)
Citation 9

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Portfolio management, asset allocation, long-run returns, shortfall analysis

Irrational Optimism

Posted: 15 Feb 2004
Elroy Dimson, Paul Marsh and Mike Staunton
University of Cambridge - Judge Business School, London Business School - Institute of Finance and Accounting and London Business School - Institute of Finance and Accounting

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Portfolio management: asset allocation; equity investments: fundamental analysis and valuation models

7.

Long-Run Asset Returns

Annual Review of Financial Economics, volume 16, issue 1, 2024 (forthcoming) [10.1146/annurev-financial-082123-105515]
Number of pages: 38 Posted: 03 Dec 2024
David Chambers, Elroy Dimson, Antti Ilmanen and Paul Rintamäki
University of Cambridge - Judge Business School, University of Cambridge - Judge Business School, AQR Capital Management and Aalto University
Downloads 6,272 (2,724)

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Asset pricing, historical returns, stock market index, investment management, risk premium, stocks, bonds, real estate

8.

Three Centuries of Asset Pricing

Downloads 5,781 ( 3,134)
Citation 5

Three Centuries of Asset Pricing

Journal of Banking and Finance, Vol. 23, No. 12, 1999, pages 1745–1769, LBS Institute of Finance and Accounting Working Paper No. IFA 385
Number of pages: 22 Posted: 11 Jan 2000 Last Revised: 20 Mar 2016
Elroy Dimson and Massoud Mussavian
University of Cambridge - Judge Business School and affiliation not provided to SSRN
Downloads 5,781 (3,090)
Citation 5

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Three Centuries of Asset Pricing

Journal of Banking and Finance, Vol 23, No 12, 1999, pages 1745–1769
Posted: 11 Jan 2000 Last Revised: 20 Mar 2016
Elroy Dimson and Massoud Mussavian
University of Cambridge - Judge Business School and affiliation not provided to SSRN

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9.

Long-Run Global Capital Market Returns and Risk Premia

Number of pages: 19 Posted: 05 Feb 2002
Elroy Dimson, Paul Marsh and Mike Staunton
University of Cambridge - Judge Business School, London Business School - Institute of Finance and Accounting and London Business School - Institute of Finance and Accounting
Downloads 5,537 (3,379)
Citation 4

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Long-term returns, equity risk premium, financial market history, survivor bias

10.

Murphy's Law and Market Anomalies

Downloads 5,491 ( 3,443)
Citation 22

Murphy's Law and Market Anomalies

Journal of Portfolio Management, Vol. 25, No. 2, 1999, pages 53–69
Number of pages: 35 Posted: 24 Oct 1998 Last Revised: 20 Mar 2016
Elroy Dimson and Paul Marsh
University of Cambridge - Judge Business School and London Business School - Institute of Finance and Accounting
Downloads 5,491 (3,400)
Citation 22

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Murphy's Law and Market Anomalies

Journal of Portfolio Management, Vol. 25, No. 2, 1999, pages 53–69
Posted: 23 Feb 1999 Last Revised: 20 Mar 2016
Elroy Dimson and Paul Marsh
University of Cambridge - Judge Business School and London Business School - Institute of Finance and Accounting

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11.

Global Evidence on the Equity Risk Premium

Downloads 4,927 ( 4,170)
Citation 50

Global Evidence on the Equity Risk Premium

Journal of Applied Corporate Finance, Vol 15, No 4, pages 27–34, LBS Accounting Subject Area Working Paper No. IFA 385
Number of pages: 15 Posted: 11 Aug 2003 Last Revised: 20 Mar 2016
Elroy Dimson, Paul Marsh and Mike Staunton
University of Cambridge - Judge Business School, London Business School - Institute of Finance and Accounting and London Business School - Institute of Finance and Accounting
Downloads 4,927 (4,107)
Citation 50

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Equity risk premium, Long-term returns, Financial history, Survivorship, Required rate of return

Global Evidence on the Equity Risk Premium

Journal of Applied Corporate Finance, Vol. 15, No. 4, Summer 2003, pages 27–34
Posted: 22 Feb 2023
Elroy Dimson, Paul Marsh and Mike Staunton
University of Cambridge - Judge Business School, London Business School - Institute of Finance and Accounting and London Business School - Institute of Finance and Accounting

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Equity risk premium, Long-term returns, Financial history, Survivorship, Required rate of return

12.

Coordinated Engagements

European Corporate Governance Institute – Finance Working Paper No. 721/2021, HKU Jockey Club Enterprise Sustainability Global Research Institute - Archive
Number of pages: 85 Posted: 26 Jul 2018 Last Revised: 18 Mar 2025
Elroy Dimson, Oğuzhan Karakaş and Xi Li
University of Cambridge - Judge Business School, Cambridge Judge Business School - Finance Subject Group and London School of Economics
Downloads 4,725 (4,500)
Citation 18

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Engagement, dialogue, collaboration, coordination, leadership, corporate social responsibility, csr, environmental, social, and governance, esg, socially responsible investing, sri, sustainability

13.

Rethinking the Equity Risk Premium

Brett Hammond, Martin Leibowitz, and Laurence Siegel (Eds), Rethinking the Equity Premium, Research Foundation of CFA Institute, 2011-1
Number of pages: 164 Posted: 12 Jun 2015 Last Revised: 19 Mar 2016
P. Brett Hammond, Martin L. Leibowitz, Laurence B. Siegel, Roger G. Ibbotson, Clifford S. Asness, Elroy Dimson, Paul Marsh, Mike Staunton, Richard C. Grinold, Kenneth F. Kroner, Robert D. Arnott, Antti Ilmanen, Peng Cheng, Andrew Ang, Zhang Xiaoyan, Jeremy J. Siegel and Rajnish Mehra
Pension Research Council, Teachers Insurance and Annuity Association College Retirement Equities Fund (TIAA-CREF), CFA Institute Research Foundation, Yale School of Management, AQR Capital Management, LLC, University of Cambridge - Judge Business School, London Business School - Institute of Finance and Accounting, London Business School - Institute of Finance and Accounting, Barclays, BlackRock, Inc - San Francisco, Research Affiliates, LLC, AQR Capital Management, Xi'an Jiaotong - Liverpool University - International Business School Suzhou, Columbia University, Independent, University of Pennsylvania - Finance Department and Arizona State University (ASU) - W.P Carey School of Business, Department of Economics
Downloads 3,619 (6,915)
Citation 12

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

14.

The Price of Wine

Journal of Financial Economics (JFE), Vol. 118, No. 2, 2015, pages 431–449
Number of pages: 50 Posted: 07 Sep 2013 Last Revised: 19 Mar 2016
Elroy Dimson, Peter L. Rousseau and Christophe Spaenjers
University of Cambridge - Judge Business School, Vanderbilt University - Department of Economics and University of Colorado Boulder - Leeds School of Business
Downloads 3,272 (8,149)
Citation 8

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wine prices; alternative investments; price indexes; psychic return; bubbles

15.

Closed-End Funds: A Survey

Number of pages: 83 Posted: 26 Oct 1998
Elroy Dimson and Carolina Minio-Kozerski
University of Cambridge - Judge Business School and J.P. Morgan Chase & Co.
Downloads 3,029 (9,187)
Citation 8

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16.

The Expected Illiquidity Premium: Evidence from Equity Index-Linked Bonds

Downloads 2,036 (17,341)
Citation 8

The Expected Illiquidity Premium: Evidence from Equity Index-Linked Bonds

Number of pages: 29 Posted: 31 Dec 2000
Elroy Dimson and Bernd Hanke
University of Cambridge - Judge Business School and London Business School - Institute of Finance and Accounting
Downloads 1,758 (21,438)
Citation 8

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Illiquidity, equity returns

The Expected Illiquidity Premium: Evidence from Equity Index-Linked Bonds

Review of Finance, Vol. 8, No. 1, pp. 19-47, 2004
Number of pages: 32 Posted: 18 Apr 2006 Last Revised: 20 Mar 2016
Elroy Dimson and Bernd Hanke
University of Cambridge - Judge Business School and Global Systematic Investors LLP
Downloads 278 (238,188)

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Liquidity, Asset Pricing

17.

IPO Underpricing Over the Very Long Run

Journal of Finance, Vol. 64, No. 3, June 2009, pages 1407–1443
Number of pages: 56 Posted: 20 Mar 2006 Last Revised: 20 Mar 2016
David Chambers and Elroy Dimson
University of Cambridge - Judge Business School and University of Cambridge - Judge Business School
Downloads 1,806 (20,936)
Citation 21

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Initial public offering, underpricing, regulation, investor protection, financial history

18.

The Investment Performance of Art and Other Collectibles

Chapter 10 of Anna Dempster (Ed), Risk and Uncertainty in the Art World, Bloomsbury Publishing, 2014, pages 219–238
Number of pages: 19 Posted: 02 Sep 2013 Last Revised: 19 Mar 2016
Elroy Dimson and Christophe Spaenjers
University of Cambridge - Judge Business School and University of Colorado Boulder - Leeds School of Business
Downloads 1,728 (22,431)
Citation 2

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alternative investments, collectibles, luxury goods, price indexes, investment risks

19.

Ex Post: The Investment Performance of Collectible Stamps

Journal of Financial Economics (JFE), Vol. 100, No. 2, 2011, pages 443–458
Number of pages: 40 Posted: 06 Aug 2009 Last Revised: 20 Mar 2016
Elroy Dimson and Christophe Spaenjers
University of Cambridge - Judge Business School and University of Colorado Boulder - Leeds School of Business
Downloads 1,224 (37,509)
Citation 5

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Alternative investments, Indexes, Long-term returns, Philately, Stamps

20.

Investing in Emotional Assets

Financial Analysts Journal, Vol. 70, No. 2, 2014, pages 18–22
Number of pages: 10 Posted: 31 Jan 2014 Last Revised: 19 Mar 2016
Elroy Dimson and Christophe Spaenjers
University of Cambridge - Judge Business School and University of Colorado Boulder - Leeds School of Business
Downloads 1,222 (37,608)
Citation 5

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alternative investments, collectibles, luxury goods, price indexes, investment risks

21.

Financial Market History: Reflections on the Past for Investors Today

CFA Institute Research Foundation 2016M-3
Number of pages: 306 Posted: 10 Mar 2017
David Chambers and Elroy Dimson
University of Cambridge - Judge Business School and University of Cambridge - Judge Business School
Downloads 1,200 (38,692)
Citation 1

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financial market history, dimson, chambers, CFA, CFA Institute, CFA Institute Research Foundation

22.

Seventy-Five Years of Investing for Future Generations

Financial Analysts Journal, 2020, 76(4): 5–21
Number of pages: 35 Posted: 02 Oct 2020 Last Revised: 11 Nov 2020
David Chambers, Elroy Dimson and Charikleia Kaffe
University of Cambridge - Judge Business School, University of Cambridge - Judge Business School and University of Cambridge - Judge Business School
Downloads 1,176 (39,824)

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Endowments and Foundations, Long Horizon Investing, Herding, Counter-Cyclical Investing, Asset Allocation

23.

Stress Tests of Capital Requirements

96-50
Number of pages: 30 Posted: 28 Jan 1997
Elroy Dimson and Paul Marsh
University of Cambridge - Judge Business School and London Business School - Institute of Finance and Accounting
Downloads 1,168 (40,224)
Citation 2

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24.

Capturing the Value Premium in the U.K. 1955-2001

Number of pages: 27 Posted: 12 Mar 2003
Elroy Dimson, Stefan Nagel and Garrett Quigley
University of Cambridge - Judge Business School, University of Chicago - Booth School of Business and Global Systematic Investors LLP
Downloads 1,052 (46,738)
Citation 10

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Value Premium, Book-to-Market, Trading Cost

25.

To Divest or to Engage? A Case Study of Climate-Change Activism

Number of pages: 16 Posted: 15 Oct 2019
David Chambers, Elroy Dimson and Ellen Quigley
University of Cambridge - Judge Business School, University of Cambridge - Judge Business School and University of Cambridge
Downloads 997 (50,426)
Citation 3

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Climate change, responsible investing, fossil fuel, ESG, activism, endowments, portfolio management

26.

Art as an Asset: Evidence from Keynes the Collector

Downloads 941 (54,649)
Citation 10

Art as an Asset: Evidence from Keynes the Collector

Number of pages: 39 Posted: 26 Feb 2020 Last Revised: 11 Mar 2020
David Chambers, Elroy Dimson and Christophe Spaenjers
University of Cambridge - Judge Business School, University of Cambridge - Judge Business School and University of Colorado Boulder - Leeds School of Business
Downloads 930 (54,648)
Citation 1

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alternative investments; art; portfolios; price indexes; indivisible assets; concentration

Art as an Asset: Evidence from Keynes the Collector

CEPR Discussion Paper No. DP14357
Number of pages: 42 Posted: 11 Feb 2020 Last Revised: 02 Mar 2020
David Chambers, Elroy Dimson and Christophe Spaenjers
University of Cambridge - Judge Business School, University of Cambridge - Judge Business School and University of Colorado Boulder - Leeds School of Business
Downloads 11 (1,329,192)
Citation 9
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27.

High Frequency Performance Monitoring

Downloads 724 (77,806)
Citation 1

High Frequency Performance Monitoring

Number of pages: 30 Posted: 11 Aug 2001
Elroy Dimson and Andrew Jackson
University of Cambridge - Judge Business School and Vinva Investment Management
Downloads 724 (76,612)
Citation 1

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Performance measurement; Investment management; High frequency monitoring

High Frequency Performance Monitoring

Posted: 18 Apr 2002
Elroy Dimson and Andrew Jackson
University of Cambridge - Judge Business School and Vinva Investment Management

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Performance measurement, Investment management, High frequency monitoring

28.

John Maynard Keynes, Investment Innovator

Journal of Economic Perspectives, 2013, Vol 27, No 3, pages 1–18
Number of pages: 24 Posted: 30 Jun 2013 Last Revised: 20 Mar 2016
David Chambers and Elroy Dimson
University of Cambridge - Judge Business School and University of Cambridge - Judge Business School
Downloads 699 (81,323)
Citation 7

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Keynes, endowment, investment, history, risk premium, value investing

29.

The British Origins of the U.S. Endowment Model

Financial Analysts Journal, Vol 71, No 2, pages 8–12, 2015
Number of pages: 13 Posted: 21 Dec 2014 Last Revised: 20 Mar 2016
David Chambers and Elroy Dimson
University of Cambridge - Judge Business School and University of Cambridge - Judge Business School
Downloads 479 (131,087)
Citation 1

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Long horizon investing, Yale, Keynes, Investment strategy, illiquid assets

30.

Keynes, King’s and Endowment Asset Management

Downloads 451 (137,697)

Keynes, King’s and Endowment Asset Management

Chapter 4 of J Brown and C Hoxby (Eds), How the Financial Crisis and Great Recession Affected Higher Education, University of Chicago Press, 2015, pages 127–150
Number of pages: 38 Posted: 23 Sep 2014 Last Revised: 20 Mar 2016
David Chambers, Elroy Dimson and Justin Foo
University of Cambridge - Judge Business School, University of Cambridge - Judge Business School and University of Cambridge - Judge Business School
Downloads 451 (139,050)

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King's College Cambridge, John Maynard Keynes, behavioral finance, endoment asset management, financial history

Keynes, King’s and Endowment Asset Management

Chapter 4 of J Brown and C Hoxby (Eds), How the Financial Crisis and Great Recession Affected Higher Education, University of Chicago Press, 2015, pages 127–150
Posted: 20 Sep 2014 Last Revised: 20 Mar 2016
David Chambers, Elroy Dimson and Justin Foo
University of Cambridge - Judge Business School, University of Cambridge - Judge Business School and University of Cambridge - Judge Business School

Abstract:

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King’s College Cambridge, John Maynard Keynes, behavioral finance, endowment asset management; financial history

31.

Convenience Yields of Collectibles

Number of pages: 38 Posted: 29 Nov 2023
Elroy Dimson, Kuntara Pukthuanthong and Blair Vorsatz
University of Cambridge - Judge Business School, University of Missouri, Columbia and University of Chicago - Booth School of Business
Downloads 289 (230,450)

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Collectibles, convenience yields, emotional dividends, sustainable invest- ing, non-pecuniary returns, machine learning

32.

ESG Investment Outcomes, Performance Evaluation, and Attribution

CFA Institute Research Foundation Briefs, October 2022, https://doi.org/10.56227/22.1.14
Number of pages: 34 Posted: 21 Oct 2022
Stephen Horan, Elroy Dimson, Kenneth Blay, Glen K. Yelton and Ankit Agarwal
CFP Board of Standards, University of Cambridge - Judge Business School, INVESCO Global Asset Management, N.A., INVESCO Global Asset Management, N.A. and INVESCO Global Asset Management, N.A.
Downloads 287 (232,987)

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33.

Research Foundation Year in Review -- 2012

CFA Institute Research Foundation R2013
Number of pages: 76 Posted: 11 Jun 2015 Last Revised: 20 Mar 2016
Antti Ilmanen, Richard Taffler, David Tuckett, Zvi Bodie, Laurence B. Siegel, Lisa Stanton, Momtchil Pojarliev, Richard M. Levich, Stephen Wilcox, David Adler, Thomas Oberlechner, Richard Sandor, Elroy Dimson, Jeffery Bailey, Bud Haslett and David Chambers
AQR Capital Management, University of Warwick - Finance Group, University College London - Centre for the Study of Decision-Making Uncertainty, Boston University, CFA Institute Research Foundation, CFA Institute, Fischer Francis Trees & Watts, Inc., New York University (NYU) - Department of Finance, Minnesota State University, Mankato, CFA Institute, Webster University, Environmental Financial Products, LLC, University of Cambridge - Judge Business School, Target Corporation, CFA Institute Research Foundation and University of Cambridge - Judge Business School
Downloads 202 (328,321)

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Expected Returns, emotional finance, currency investing, life-cycle investing, inflation, liquidity, financial frictions, ethics, derivatives, equity risk premium

34.

Keynes, King's and Endowment Asset Management

NBER Working Paper No. w20421
Number of pages: 39 Posted: 22 Sep 2014 Last Revised: 20 Apr 2023
David Chambers, Elroy Dimson and Justin Foo
University of Cambridge - Judge Business School, University of Cambridge - Judge Business School and University of Cambridge - Judge Business School
Downloads 106 (561,298)

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35.

Capturing the Value Premium in the United Kingdom

Financial Analysts Journal, Vol. 59, No. 6, pp. 35-45, November/December 2003
Posted: 25 Jan 2004 Last Revised: 07 Oct 2011
Elroy Dimson, Stefan Nagel and Garrett Quigley
University of Cambridge - Judge Business School, University of Chicago - Booth School of Business and Global Systematic Investors LLP

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Portfolio Management, equity strategies

36.

Risk and Return in the 20th and 21st Centuries

Posted: 05 Mar 2001
Elroy Dimson, Paul Marsh and Mike Staunton
University of Cambridge - Judge Business School, London Business School - Institute of Finance and Accounting and London Business School - Institute of Finance and Accounting

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37.

U.K. Financial Market Returns 1955-2000

Posted: 13 Feb 2001
Elroy Dimson and Paul Marsh
University of Cambridge - Judge Business School and London Business School - Institute of Finance and Accounting

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38.

A Brief History of Market Efficiency and Stock Market Anomalies

Posted: 25 Jun 1998
Elroy Dimson and Massoud Mussavian
University of Cambridge - Judge Business School and affiliation not provided to SSRN

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