Long-run Asset Returns
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A2 Katsausartikkeli tieteellisessä aikakauslehdessä
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Date
2024-11-01
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Mcode
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Language
en
Pages
24
Series
Annual Review of Financial Economics, Volume 16, issue 1, pp. 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 datasets 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.Description
Keywords
asset pricing, bonds, commodities, historical returns, investment management, real estate, risk premium, stock market index, stocks
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Citation
Chambers, D, Dimson, E, Ilmanen, A & Rintamäki, P 2024, ' Long-run Asset Returns ', Annual Review of Financial Economics, vol. 16, no. 1, pp. 435-458 . https://doi.org/10.1146/annurev-financial-082123-105515