Expected returns on stocks and bonds

Journal of Portfolio Management

Volumn 29, Issue 2, 2003, Pages

  Ilmanen, Antti ^a  

^a Eur Fixed Income Strategy Citigrp   (United Kingdom)

Author keywords

[No Author keywords available]

Indexed keywords

EID: 0037413128     PISSN: 00954918     EISSN: None     Source Type: Journal    
DOI: 10.3905/jpm.2003.319869     Document Type: Article

References (37)

1. Arnott, Robert D., and Cliff S. Asness. "Does Dividend Policy Foretell Earnings Growth?" Working paper, First Quadrant, 2002.
2. Arnott, Robert D., and Peter L. Bernstein. "What Risk Premium is 'Normal' ?" Financial Analysts Journal, March/April 2002.
3. Arnott, Robert D., and Ronald Ryan. "The Death of the Risk Premium: Consequences of the 1990s." The Journal of Portfolio Management, Spring 2001.
4. Asness, Cliff. "Bubble Logic or How to Learn to Stop Worrying and Love the Bull." Working paper, AQR, June 2000a.
5. _. "Stocks vs. Bonds: Explaining the Equity Risk Premium." Financial Analysts Journal, March/April 2000b.
6. Bernstein, Peter L. "The Risk Premium: A Critical Look and Some Pleasant Conclusions." Economics and Portfolio Strategy, April 1999.
7. _. "The Uses of History." Economics and Portfolio Strategy, June 2002.
8. Best, Peter, and Alistair Byrne. "Measuring the Equity Risk Premium." Journal of Asset Management, 1 (2001).
9. Best, Peter, Alistair Byrne, and Antti Ilmanen. "What Really Happened to U.S. Bond Yields?" Financial Analysts Journal, May/June 1998.
10. Campbell, John Y., and Robert J. Shiller. "Valuation Ratios and the Long-Run Stock Market Outlook: An Update." Working paper, NBER, 2001.
11. Carlson, John B., Eduard A. Pelz, and Mark E. Wohar. "Will Valuation Ratios Revert to Historical Means?" The Journal of Portfolio Management, Summer 2002.
12. Cornell, Bradford. The Equity Risk Premium. New York: Wiley, 1999.
13. Dimson, Elroy, Paul Marsh, and Mike Staunton. Triumph of the Optimists: 101 Years of Global Investment Returns. Princeton: Princeton University Press, 2002.
14. Fama, Eugene F., and Kenneth R. French. "Disappearing Dividends: Changing Firm Characteristics or Lower Propensity to Pay." Journal of Financial Economics, 60 (2001).
15. _. "The Equity Premium." Journal of Finance, 57 (April 2002).
16. Gordon, Myron J. The Investment, Financing, and Valuation of the Corporation. Homewood, IL: Irwin, 1962.
17. Graham, John R., and Campbell R. Harvey. "Expectations of Equity Risk Premia, Volatility and Asymmetry From a Corporate Finance Perspective." Working paper, NBER, 2001.
18. Ibbotson, Roger, and Peng Chen. "Stock Market Returns in the Long Run: Participating in the Real Economy." Working paper, Yale ICF, 2002 (forthcoming, Financial Analysts Journal).
19. Ilmanen, Antti. "Stocks Versus Bonds: Balancing Expectations and Reality." Schroder Salomon Smith Barney, June 2002.
20. Jagannathan, Ravi, Ellen R. McGrattan, and Anna Scherbina. "The Declining U.S. Equity Risk Premium." Working paper, NBER, 2001.
21. Jones, Charles M. "A Century of Stock Market Liquidity and Trading Costs." Working paper, Columbia University, May 2002.
22. Liang, J. Nellie, and Steven A. Sharpe. "Share Repurchases and Employee Stock Options and Their Implications for Expected Returns." Working paper, FRB, 1999.
23. Mehra, Rajnish, and Edward C. Prescott. "The Equity Premium: A Puzzle." Journal of Monetary Economics, 15 (March 1985).
24. Modigliani, Franco, and Richard Cohn. "Inflation, Rational Valuation and the Market." Financial Analysts Journal, March/April 1979.
25. Nordhaus, William D. "The Mildest Recession: Output, Profits and Stock Prices as the U.S. Emerges From the 2001 Recession." Working paper, NBER, 2002.
26. Poterba, James M. "The Rise of the 'Equity Culture': U.S. Stockownership Patterns 1989-1998." Working paper, MIT, 2001.
27. "Proceedings of Equity Risk Premium Forum." AIMR and TIAA-CREF, 2002.
28. Ritter, Jay R., and Richard S. Warr. "The Decline of Inflation and the Bull Market of 1982-1999." Journal of Financial and Quantitative Analysis, March 2002.
29. Sharpe, Steven A. "Re-examining Stock Valuation and Inflation: The Implications of Analysts' Earnings Forecasts." Review of Economics and Statistics, August 2002.
30. Shiller, Robert J. Irrational Exuberance. Princeton: Princeton University Press, 2000.
31. Siegel, Jeremy J. "The Shrinking Equity Risk Premium." The Journal of Portfolio Management, Fall 1999.
32. _. Stocks for the Long Run. New York: McGraw-Hill, 1998.
33. Wadhwani, Sushil B. "The U.S. Stock Market and the Global Economic Crisis." National Institute Economic Review, 1999.
34. Welch, Ivo. "The Equity Premium Consensus Forecast Revisited." Discussion paper, Cowles Foundation, 2001.
35. _. "Views of Financial Economists on the Equity Risk Premium and on Financial Controversies." Journal of Business, October 2000.
36. Wieting, Steven. "Regress to the Mean or Cause and Effect?" Salomon Smith Barney, 2001.
37. Wieting, Steven, and Ken Peng. "Inside the S&P 500." Salomon Smith Barney, 2002.