Long-Run Asset Returns

David Chambers (), Elroy Dimson (), Antti Ilmanen and Paul Rintamäki
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David Chambers: Cambridge Judge Business School, University of Cambridge, Cambridge, United Kingdom
Elroy Dimson: Cambridge Judge Business School, University of Cambridge, Cambridge, United Kingdom
Antti Ilmanen: AQR Capital Management, Greenwich, Connecticut, USA
Paul Rintamäki: Aalto University School of Business, Aalto University, Espoo, Finland

Annual Review of Financial Economics, 2024, vol. 16, issue 1, 435-458

Abstract: The literature on long-run asset returns has continued to grow steadily, particularly since the start of the new millennium. We survey this expanding body of evidence on historical return premia across the major asset classes—stocks, bonds, and real assets—over the very long run. In addition, we discuss the benefits and pitfalls of these long-run data sets and make suggestions on best practice in compiling and using such data. We report the magnitude of these risk premia over the current and previous two centuries, and we compare estimates from alternative data compilers. We conclude by proposing some promising directions for future research.

Keywords: stocks; investment management; bonds; historical returns; risk premium; real estate; asset pricing; commodities; stock market index (search for similar items in EconPapers)
JEL-codes: G11 G12 G32 G38 N20 (search for similar items in EconPapers)
Date: 2024
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DOI: 10.1146/annurev-financial-082123-105515

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