Paul Marsh

• London Business School

Should investors put money into ground‐breaking industries? Or will they find that their enthusiasm is more likely to entice them into a market bubble that will soon burst? By Elroy Dimson, Paul Marsh and Mike Staunton

We need to look at investments over many decades to see past all the ups and downs, say Elroy Dimson, Paul Marsh and Mike Staunton

Which stockmarket investments do best? Elroy Dimson, Paul Marsh and Mike Staunton seek the answers

The history of stock markets reflects the history of the world. The past century has seen spectacular change. By Ben Laurance

Factor investing is popular, and its adoption is accelerating. One reason it is increasingly being embraced is that portfolio return expectations seem to be evidence based. However, much of the so-called evidence consists of repeated analysis of the very datasets used to derive an investment model in the first place. To mitigate this trap, the auth...

Credit Suisse Global Investment Returns Sourcebook 2014 147 CHAPTER 20 Portugal The data for Portuguese equities come from a three-year study by Maria Eugénia Mata and José da Costa; see da Costa, Mata, and Justino (2012) for an interim report. They have created an all-share weekly index for the Lisbon stock exchange starting from 3 January 1900 (h...

Country profiles_51 Portugal Land of discoverors In the 15th century, during The Age of the Discoveries, a rudimentary form of centralized market existed in Lisbon. It solved two problems: how to assemble the large amounts of money necessary to finance the fleets and the voyages; and how to agree the premia for insurance contracts to cover the asso...

We update our global evidence on the long-term realized equity risk premium, relative to both bills and bonds, in 19 different countries. Our study now runs from 1900 to the start of 2011. While there is considerable variation across countries, the realized equity risk premium was substantial everywhere. For our 19-country World index, over the ent...

Momentum - the tendency for stock returns to trend in the same direction - is a major puzzle. Fama and French describe it as the "premier anomaly". However, momentum could still be a regularity that does not endure out of sample. We test whether it is a persistent feature of financial markets by studying UK stock returns since 1900, as well as inte...

We create and analyse a long-term history for various types of equity investment that are protected against downside risk. To do this, we estimate the performance achievable by employing modern investment technologies and markets, such as purchasing or dynamically creating portfolio insurance. We report the returns and risks that would have been ex...

We use a new database of long-run stock, bond, bill, inflation, and currency returns to estimate the equity risk premium for 17 countries and a world index over a 106-year interval. Taking U.S. Treasury bills (government bonds) as the risk-free asset, the annualised equity premium for the world index was 4.7% (4.0%). We report the historical equity...

We address the tendency of many investors to overestimate the rewards and underestimate the risks of investing in stocks over the long term - that is, investors' irrational optimism. In particular, we examine the widely held belief that stocks are a "safe" investment for the long run. The probability of experiencing a real loss on equities depends...

The size of the equity risk premium—the incremental return that shareholders require to hold risky equities rather than risk‐free securities—is a key issue in corporate finance. Financial economists generally measure the equity premium over long periods of time in order to obtain reliable estimates. These estimates are widely used by investors, fin...

Investors have too often extrapolated from the American experience and from relatively recent evidence. In the 1950s, who but the most rampant optimist would have dreamed that, over the next fifty years, the real return on equities would be 9 percent per year? Yet this is exactly what happened in the US stock market. In this study we extend our kno...

Investors have too often extrapolated from recent experience. In the 1950s, who but the most rampant optimist would have dreamt that over the next fifty years the real return on equities would be 9% per year? Yet this is what happened in the U.S. stock market. The optimists triumphed. However, as Don Marquis observed, an optimist is someone who nev...

We present and analyze new monthly index series for U.K. financial assets, covering equities, bonds, bills, and inflation. The data are consistent with the CRSP/Ibbotson series for the United States. We use our indices to estimate equity and bond premia and to make international comparisons, especially with the United States, Germany, and Japan. We...

The single most important contemporary issue in finance is the equity risk premium. This drives future equity returns, and is the key determinant of the cost of capital. The risk premium – the expected reward for bearing the risk of investing in equities, rather than in low-risk investments such as bills or bonds – is usually estimated from histori...

Many researchers have uncovered empirical regularities in stock market returns. If these regularities persist, investors can expect to achieve superior performance. Unfortunately, nature can be perverse. Once an apparent anomaly is publicised, only too often it disappears or goes into reverse. The latter seems to have happened to the small firm pre...

This paper examines the performance of the leading methods for setting capital requirements for securities firms' trading books. Tests are conducted on a large sample of UK equity market makers' books over a substantial number of periods of equity market stress from 1985 to 1995. The comprehensive and building-block approaches, favoured by US and E...

Regulatory authorities set capital requirements to cover the position risk of securities firms and to protect against losses arising from fluctuations in the value of their holdings. The requirements may be set using the comprehensive approach required by the U.S. Securities and Exchange Commission, the building-block approach required by the Europ...

There is quite an extensive literature documenting the behaviour of stock returns volatility in both developed and emerging stock markets, but such studies are scanty for the Nigerian Stock Exchange (NSE). Modelling volatility is an important element in pricing equity, risk management and portfolio management. For these reasons, this paper investig...

This study of 862 press recommendations demonstrates that the size effect can distort longer-term performance measures, and hence event studies. Relative to similar sized companies, post-publication performance is neutral. However, market adjustments, the CAPM and Market Model, with equally or capitalization weighted indexes, all produce biased res...

Recent empirical evidence has shown that internal capital markets within multinational corporations are used to reduce overall financing costs by optimizing the mix of internal and external debt of affiliates in different countries. We show that this cost saving use of internal capital markets is not limited to multinationals, but that domestic bus...