History and the Equity Risk Premium

William Goetzmann () and Roger Ibbotson ()
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Roger Ibbotson: Yale School of Management

Yale School of Management Working Papers from Yale School of Management

Abstract: We summarize some of our own past findings and place them in the context of the historical development of the idea of the equity risk premium and its empirical measurement by financial economists. In particular, we focus on how the theory of compensation for investment risk developed in the 20th century in tandem with the empirical analysis of historical investment performance. Finally, we update our study of the historical performance of the New York Stock Exchange over the period 1792 to the present, and include a measure of the U.S. equity risk premium over more than two centuries. This last section is based upon indices constructed from individual stock and dividend data collected over a decade of research at the Yale School of Management, and contributions by other scholars.

Keywords: financial history; equity premium (search for similar items in EconPapers)
JEL-codes: N2 G11 (search for similar items in EconPapers)
New Economics Papers: this item is included in nep-fin, nep-his and nep-rmg
Date: 2005-04-13
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Persistent link: http://EconPapers.repec.org/RePEc:ysm:somwrk:ysm448

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