Long-Run Asset Returns

David Chambers, Elroy Dimson, Antti Ilmanen and Rintamäki, Paul

No 20800, CEPR Discussion Papers from Centre for Economic Policy Research

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: Asset pricing; historical returns; stock market index; Investment management; risk premium; stocks; Bonds; Real estate; Commodities (search for similar items in EconPapers)
JEL-codes: G11 G12 G32 G38 N20 (search for similar items in EconPapers)
Date: 2025-10
References: Add references at CitEc
Citations:

Downloads: (external link)
https://cepr.org/publications/DP20800 (application/pdf)

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:cpr:ceprdp:20800

Ordering information: This working paper can be ordered from
https://cepr.org/publications/DP20800

Access Statistics for this paper

More papers in CEPR Discussion Papers from Centre for Economic Policy Research 33 Great Sutton Street, London EC1V 0DX, UK.
Bibliographic data for series maintained by CEPR ().