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"Long-Run Asset Returns" Elroy Dimson, University of Cambridge

October 4, 2023
Queen's Business School, Conference Hub, Wheston Lecture Theatre 0G.028. Riddel Hall, 185 Stranmillis Road, Belfast BT9 5EE
13:00 - 14:00

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



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.


Queen's Business School
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