Keynes the Stock Market Investor: A Quantitative Analysis

David Chambers, Elroy Dimson and Justin Foo

Journal of Financial and Quantitative Analysis, 2015, vol. 50, issue 4, 843-868

Abstract: The consensus view of the influential economist John Maynard Keynes is that he was a stellar investor. We provide an extensive quantitative appraisal of his performance over a quarter century and present detailed analysis of his archived trading records. His top-down approach initially generated disappointing returns with no evidence of any market-timing ability. However, from the early 1930s his performance improved as he evolved into a bottom-up stock picker with substantial active risk and pronounced size and value tilts. Our reconstruction of Keynes’s stock trading provides a unique record of realized performance and sheds light on how equity investing developed historically.

Date: 2015
References: Add references at CitEc
Citations: View citations in EconPapers (14)

Downloads: (external link)
https://www.cambridge.org/core/product/identifier/ ... type/journal_article link to article abstract page (text/html)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:cup:jfinqa:v:50:y:2015:i:04:p:843-868_00

Access Statistics for this article

More articles in Journal of Financial and Quantitative Analysis from Cambridge University Press Cambridge University Press, UPH, Shaftesbury Road, Cambridge CB2 8BS UK.
Bibliographic data for series maintained by Kirk Stebbing ().