메뉴 건너뛰기




Volumn 74, Issue 1, 2001, Pages 1-31

U.K. Financial market returns, 1955-2000

(2)  Dimson, Elroy a   Marsh, Paul a  

a NONE

Author keywords

[No Author keywords available]

Indexed keywords


EID: 0039895624     PISSN: 00219398     EISSN: None     Source Type: Journal    
DOI: 10.1086/209661     Document Type: Article
Times cited : (50)

References (60)
  • 1
    • 0010023511 scopus 로고
    • The relationship between return and market value of common stocks
    • Banz, R. W. 1981. The relationship between return and market value of common stocks. Journal of Financial Economics 9:3-18.
    • (1981) Journal of Financial Economics , vol.9 , pp. 3-18
    • Banz, R.W.1
  • 2
    • 0040218466 scopus 로고    scopus 로고
    • London: Barclays Capital
    • Barclays Capital. 1999. Equity-Gilt Study. London: Barclays Capital.
    • (1999) Equity-Gilt Study
  • 6
    • 0002793131 scopus 로고
    • The term structure of real interest rates and the Cox, Ingersoll and Ross model
    • Brown, R. H., and Schaefer, S. M. 1994. The term structure of real interest rates and the Cox, Ingersoll and Ross model. Journal of Financial Economics 35:3-42.
    • (1994) Journal of Financial Economics , vol.35 , pp. 3-42
    • Brown, R.H.1    Schaefer, S.M.2
  • 7
    • 1542710482 scopus 로고    scopus 로고
    • A scorecard for indexed government debt
    • B. Bernanke and J. Rotemberg (eds.), Cambridge, Mass.: MIT Press
    • Campbell, J. Y., and Shiller, R. J. 1996. A scorecard for indexed government debt. In B. Bernanke and J. Rotemberg (eds.), NBER Macroeconomic Annual. Cambridge, Mass.: MIT Press.
    • (1996) NBER Macroeconomic Annual
    • Campbell, J.Y.1    Shiller, R.J.2
  • 8
    • 0012912735 scopus 로고
    • Historical rates of return to equities, bonds, and the equity risk premium: New Zealand evidence
    • Chay, J. B.; Marsden, A.; and Stubbs, R. 1993. Historical rates of return to equities, bonds, and the equity risk premium: New Zealand evidence. Pacific Accounting Review 5:27-46.
    • (1993) Pacific Accounting Review , vol.5 , pp. 27-46
    • Chay, J.B.1    Marsden, A.2    Stubbs, R.3
  • 9
    • 0004245232 scopus 로고
    • Cambridge: Cambridge University Press
    • Dimson, E. (ed). 1988. Stock Market Anomalies. Cambridge: Cambridge University Press.
    • (1988) Stock Market Anomalies
    • Dimson, E.1
  • 10
    • 0000503034 scopus 로고
    • The stability of UK risk measures and the problem of thin trading
    • Dimson, E., and Marsh, P. R. 1983. The stability of UK risk measures and the problem of thin trading. Journal of Finance 38:753-83.
    • (1983) Journal of Finance , vol.38 , pp. 753-783
    • Dimson, E.1    Marsh, P.R.2
  • 13
    • 0030551225 scopus 로고    scopus 로고
    • A new dividend forecasting procedure that rejects bubbles in asset prices: The case of 1929's stock crash
    • Donaldson, R. G., and Kamstra, M. 1996. A new dividend forecasting procedure that rejects bubbles in asset prices: The case of 1929's stock crash. Review of Financial Studies 9: 333-83.
    • (1996) Review of Financial Studies , vol.9 , pp. 333-383
    • Donaldson, R.G.1    Kamstra, M.2
  • 14
    • 84993845943 scopus 로고
    • Size and book-to-market factors in earnings and returns
    • Fama, E., and French, K. 1995. Size and book-to-market factors in earnings and returns. Journal of Finance 50:131-55.
    • (1995) Journal of Finance , vol.50 , pp. 131-155
    • Fama, E.1    French, K.2
  • 15
    • 11544342489 scopus 로고    scopus 로고
    • Value versus growth: The international evidence
    • Fama, E., and French, K. 1998. Value versus growth: The international evidence. Journal of Finance 53:1975-99.
    • (1998) Journal of Finance , vol.53 , pp. 1975-1999
    • Fama, E.1    French, K.2
  • 16
    • 0000754261 scopus 로고
    • Some new stock-market indices
    • Fisher, L. 1966. Some new stock-market indices. Journal of Business 39:91-225.
    • (1966) Journal of Business , vol.39 , pp. 91-225
    • Fisher, L.1
  • 17
    • 0039034315 scopus 로고
    • Rates of return on investments in common stock: The year-by-year record, 1926-65
    • Fisher, L., and Lorie, J. H. 1968. Rates of return on investments in common stock: The year-by-year record, 1926-65. Journal of Business 41:291-316.
    • (1968) Journal of Business , vol.41 , pp. 291-316
    • Fisher, L.1    Lorie, J.H.2
  • 18
    • 0007471630 scopus 로고
    • Some studies of variability of returns of investments in common stocks
    • Fisher, L., and Lorie, J. H. 1970. Some studies of variability of returns of investments in common stocks. Journal of Business 43:99-134.
    • (1970) Journal of Business , vol.43 , pp. 99-134
    • Fisher, L.1    Lorie, J.H.2
  • 20
    • 84925980977 scopus 로고
    • Quarterly returns to investment in ordinary shares, 1919-70
    • Foldes, L., and Watson, P. 1982. Quarterly returns to investment in ordinary shares, 1919-70. Economica 49:161-81.
    • (1982) Economica , vol.49 , pp. 161-181
    • Foldes, L.1    Watson, P.2
  • 21
    • 84963451930 scopus 로고
    • Swedish stocks, bonds, bills and inflation, 1919-1990
    • Frenneberg, P., and Hansson, B. 1992. Swedish stocks, bonds, bills and inflation, 1919-1990. Applied Financial Economics 2:79-86.
    • (1992) Applied Financial Economics , vol.2 , pp. 79-86
    • Frenneberg, P.1    Hansson, B.2
  • 22
    • 0039034310 scopus 로고
    • La rentabilité réelle des actifs boursiers de 1950 à 1992
    • Gallais-Hamonno, G., and Arbulu, P. 1995. La rentabilité réelle des actifs boursiers de 1950 à 1992. Economie et statistique 281:3-30.
    • (1995) Economie et Statistique , vol.281 , pp. 3-30
    • Gallais-Hamonno, G.1    Arbulu, P.2
  • 23
    • 21844493506 scopus 로고
    • A longer look at dividend yields
    • Goetzmann, W. N., and Jorion, P. 1995. A longer look at dividend yields. Journal of Business 68:483-508.
    • (1995) Journal of Business , vol.68 , pp. 483-508
    • Goetzmann, W.N.1    Jorion, P.2
  • 24
    • 25344463928 scopus 로고
    • Historical returns in the Spanish equity market
    • González, A. S., and Suárez, J. L. 1994. Historical returns in the Spanish equity market. Journal of Investing 3, no. 1:66-71.
    • (1994) Journal of Investing , vol.3 , Issue.1 , pp. 66-71
    • González, A.S.1    Suárez, J.L.2
  • 25
  • 26
    • 0008725284 scopus 로고
    • A standard database for the analysis of Japanese security markets
    • Hamao, Y. 1991. A standard database for the analysis of Japanese security markets. Journal of Business 64:87-102.
    • (1991) Journal of Business , vol.64 , pp. 87-102
    • Hamao, Y.1
  • 28
    • 0039626541 scopus 로고
    • A Canadian perspective on Canadian and United states capital market returns. 1950-83
    • Hatch, J. E., and White, R. W. 1986. A Canadian perspective on Canadian and United States capital market returns. 1950-83. Financial Analysts Journal 42:60-68.
    • (1986) Financial Analysts Journal , vol.42 , pp. 60-68
    • Hatch, J.E.1    White, R.W.2
  • 31
    • 0040812987 scopus 로고    scopus 로고
    • The cross-section of common stock returns: A review of the evidence and some new findings
    • D. Keim and and W. Ziemba (eds.), Cambridge: Cambridge University Press
    • Hawawini, G., and Keim, D. 2000. The cross-section of common stock returns: A review of the evidence and some new findings. In D. Keim and and W. Ziemba (eds.), Security Market Imperfections in World Wide Equity Markets. Cambridge: Cambridge University Press.
    • (2000) Security Market Imperfections in World Wide Equity Markets
    • Hawawini, G.1    Keim, D.2
  • 33
    • 0000352707 scopus 로고
    • Stocks, bonds, bills and inflation: Year-by-year historical returns (1926-1974)
    • Ibbotson, R. G., and Sinquefield, R. A. 1976. Stocks, bonds, bills and inflation: Year-by-year historical returns (1926-1974). Journal of Business 49, no. 1:11-47.
    • (1976) Journal of Business , vol.49 , Issue.1 , pp. 11-47
    • Ibbotson, R.G.1    Sinquefield, R.A.2
  • 34
    • 0009437270 scopus 로고    scopus 로고
    • Global stock markets in the twentieth century
    • Jorion, P., and Goetzmann, W. N. 1999. Global stock markets in the twentieth century. Journal of Finance 54:953-80.
    • (1999) Journal of Finance , vol.54 , pp. 953-980
    • Jorion, P.1    Goetzmann, W.N.2
  • 35
    • 48749147730 scopus 로고
    • Size-related anomalies and stock return seasonality: Further empirical evidence
    • Keim, D. 1983. Size-related anomalies and stock return seasonality: Further empirical evidence. Journal of Financial Economics 12:13-32.
    • (1983) Journal of Financial Economics , vol.12 , pp. 13-32
    • Keim, D.1
  • 36
    • 0002908987 scopus 로고
    • Are small firms big performers?
    • Levis, M. 1985. Are small firms big performers? Investment Analyst 76:21-27.
    • (1985) Investment Analyst , vol.76 , pp. 21-27
    • Levis, M.1
  • 37
    • 4644363624 scopus 로고
    • Rates of return to shares, bond yields and inflation rates: An historical perspective
    • R. Ball, P. Brown, F. J. Finn, and R. Officer (eds.), St. Lucia: University of Queensland Press
    • Officer, R. 1989. Rates of return to shares, bond yields and inflation rates: An historical perspective. In R. Ball, P. Brown, F. J. Finn, and R. Officer (eds.), Sharemarkets and Portfolio Theory: Readings and Australian Evidence. 2d ed. St. Lucia: University of Queensland Press.
    • (1989) Sharemarkets and Portfolio Theory: Readings and Australian Evidence. 2d Ed.
    • Officer, R.1
  • 38
    • 0039034312 scopus 로고    scopus 로고
    • Is there an equity premium puzzle in italy? a look at asset returns, consumption and financial structure data over the last century
    • Rome: Banca d'Italia
    • Panetta, F., and Violi, R. 1999. Is there an equity premium puzzle in Italy? A look at asset returns, consumption and financial structure data over the last century. Discussion Paper no. 353. Rome: Banca d'Italia.
    • (1999) Discussion Paper No. 353
    • Panetta, F.1    Violi, R.2
  • 39
    • 34248494199 scopus 로고
    • Misspecification of capital asset pricing: Empirical anomalies based on earnings yields and market values
    • Reinganum, M. 1981. Misspecification of capital asset pricing: Empirical anomalies based on earnings yields and market values. Journal of Financial Economics 9:19-46.
    • (1981) Journal of Financial Economics , vol.9 , pp. 19-46
    • Reinganum, M.1
  • 40
    • 0001547971 scopus 로고
    • Taxes and stock return seasonality: Evidence from the london stock exchange
    • Reinganum, M. R., and Shapiro, A. C. 1987. Taxes and stock return seasonality: Evidence from the London Stock Exchange. Journal of Business 60:281-95.
    • (1987) Journal of Business , vol.60 , pp. 281-295
    • Reinganum, M.R.1    Shapiro, A.C.2
  • 41
    • 84977722617 scopus 로고
    • The buying and selling behavior of individual investors at the turn of the year
    • Ritter, J. R. 1988. The buying and selling behavior of individual investors at the turn of the year. Journal of Finance 43:701-17.
    • (1988) Journal of Finance , vol.43 , pp. 701-717
    • Ritter, J.R.1
  • 42
    • 0002429237 scopus 로고
    • The january size effect: Anomaly or risk measurement?
    • Rogalski, R., and Tinic, S. 1986. The January size effect: Anomaly or risk measurement? Financial Analysts Journal 42:63-70.
    • (1986) Financial Analysts Journal , vol.42 , pp. 63-70
    • Rogalski, R.1    Tinic, S.2
  • 44
    • 84977714155 scopus 로고
    • Industrial structure and the comparative behavior of international stock market indices
    • Roll, R. 1992. Industrial structure and the comparative behavior of international stock market indices. Journal of Finance 47:3-42.
    • (1992) Journal of Finance , vol.47 , pp. 3-42
    • Roll, R.1
  • 45
    • 33845632902 scopus 로고
    • Capital market seasonality: The case of stock returns
    • Rozeff, M., and Kinney, W. 1976. Capital market seasonality: The case of stock returns. Journal of Financial Economics 3:379-402.
    • (1976) Journal of Financial Economics , vol.3 , pp. 379-402
    • Rozeff, M.1    Kinney, W.2
  • 47
    • 84925971925 scopus 로고
    • Measuring a tax-specific term structure of interest rates in the market for British Government securities
    • Schaefer, S. M. 1981. Measuring a tax-specific term structure of interest rates in the market for British Government securities. Economic Journal 91:415-38.
    • (1981) Economic Journal , vol.91 , pp. 415-438
    • Schaefer, S.M.1
  • 48
    • 0002751740 scopus 로고
    • Size and stock returns and other empirical regularities
    • Schwert, W. 1983. Size and stock returns and other empirical regularities. Journal of Financial Economics 12:3-12.
    • (1983) Journal of Financial Economics , vol.12 , pp. 3-12
    • Schwert, W.1
  • 49
    • 0000893807 scopus 로고
    • Do stock prices move too much to be justified by subsequent changes in dividends?
    • Shiller, R. J. 1981. Do stock prices move too much to be justified by subsequent changes in dividends? American Economic Review 71:421-35.
    • (1981) American Economic Review , vol.71 , pp. 421-435
    • Shiller, R.J.1
  • 51
    • 21844511205 scopus 로고
    • Stocks, bonds and bills after taxes and inflation
    • Siegel, L. B., and Montgomery, D. 1995. Stocks, bonds and bills after taxes and inflation. Journal of Portfolio Management 21, no. 2:17-25.
    • (1995) Journal of Portfolio Management , vol.21 , Issue.2 , pp. 17-25
    • Siegel, L.B.1    Montgomery, D.2
  • 52
    • 0002629437 scopus 로고
    • The performance of international asset allocation strategies using conditioning information
    • Solnik, B. 1993. The performance of international asset allocation strategies using conditioning information. Journal of Empirical Finance 1:33-55.
    • (1993) Journal of Empirical Finance , vol.1 , pp. 33-55
    • Solnik, B.1
  • 54
    • 0009648981 scopus 로고
    • Durchschnittsrenditen deutscher aktien, 1954-1988
    • Stehle, R., and Hartmond, A. 1991. Durchschnittsrenditen deutscher aktien, 1954-1988. Kredite und Kapital 3:371-411.
    • (1991) Kredite und Kapital , vol.3 , pp. 371-411
    • Stehle, R.1    Hartmond, A.2
  • 56
    • 0040218457 scopus 로고    scopus 로고
    • How the really smart money invests
    • July 6
    • Tully, S. 1998. How the really smart money invests. Fortune (July 6), p. 148.
    • (1998) Fortune , pp. 148
    • Tully, S.1
  • 58
    • 0039621123 scopus 로고    scopus 로고
    • Views of financial economists on the equity premium and on professional controversies
    • Welch, I. 2000. Views of financial economists on the equity premium and on professional controversies. Journal of Business 73, no. 4:501-37.
    • (2000) Journal of Business , vol.73 , Issue.4 , pp. 501-537
    • Welch, I.1
  • 59
    • 0001443103 scopus 로고
    • The real thing: A dynamic profile of the term structure of real interest rates and inflation expectations in the United Kingdom, 1982-89
    • Woodward, G. T. 1990. The real thing: A dynamic profile of the term structure of real interest rates and inflation expectations in the United Kingdom, 1982-89. Journal of Business 63:373-98.
    • (1990) Journal of Business , vol.63 , pp. 373-398
    • Woodward, G.T.1
  • 60
    • 0039927568 scopus 로고
    • Swiss stocks, bonds, and inflation, 1926-1987
    • Wydler, D. 1989. Swiss stocks, bonds, and inflation, 1926-1987. Journal of Portfolio Management 15, no. 2:27-32.
    • (1989) Journal of Portfolio Management , vol.15 , Issue.2 , pp. 27-32
    • Wydler, D.1


* 이 정보는 Elsevier사의 SCOPUS DB에서 KISTI가 분석하여 추출한 것입니다.