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Elroy Dimson

Citations

Many of the citations below have been collected in an experimental project, CitEc, where a more detailed citation analysis can be found. These are citations from works listed in RePEc that could be analyzed mechanically. So far, only a minority of all works could be analyzed. See under "Corrections" how you can help improve the citation analysis.

Working papers

  1. Chambers, David & , & Spaenjers, Christophe, 2020. "Art as an Asset: Evidence from Keynes the Collector," CEPR Discussion Papers 14357, C.E.P.R. Discussion Papers.

    Cited by:

    1. Amy Whitaker & Roman Kräussl, 2020. "Fractional Equity, Blockchain, and the Future of Creative Work," Management Science, INFORMS, vol. 66(10), pages 4594-4611, October.
    2. Verdickt, Gertjan & Deloof, Marc, 2024. "Banking on innovation: Listed and non-listed equity investing, evidence from société générale de Belgique, 1850–1934," Explorations in Economic History, Elsevier, vol. 93(C).
    3. Aubry, Mathieu & Kräussl, Roman & Manso, Gustavo & Spaenjers, Christophe, 2023. "Biased auctioneers," CFS Working Paper Series 692, Center for Financial Studies (CFS).
      • Mathieu Aubry & Roman Kräussl & Gustavo Manso & Christophe Spaenjers, 2023. "Biased Auctioneers," Journal of Finance, American Finance Association, vol. 78(2), pages 795-833, April.
    4. Whitaker, Amy & Kräussl, Roman, 2023. "Art collectors as venture capitalists," CFS Working Paper Series 696, Center for Financial Studies (CFS).

  2. Elroy Dimson & Christophe Spaenjers, 2014. "Investing in Emotional Assets," Post-Print hal-00998271, HAL.

    Cited by:

    1. Eric Fur, 2023. "Risk and return of classic car market prices: passion or financial investment?," Journal of Asset Management, Palgrave Macmillan, vol. 24(1), pages 59-68, February.
    2. Spaenjers, Christophe & Goetzmann, William N. & Mamonova, Elena, 2015. "The economics of aesthetics and record prices for art since 1701," Explorations in Economic History, Elsevier, vol. 57(C), pages 79-94.
    3. Scharnowski, Matthias & Scharnowski, Stefan & Zimmermann, Lukas, 2023. "Fan tokens: Sports and speculation on the blockchain," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 89(C).
    4. Dobrynskaya, Victoria & Kishilova, Julia, 2022. "Lego: The Toy Of Smart Investors," Research in International Business and Finance, Elsevier, vol. 59(C).
    5. Potrykus, Marcin, 2022. "Diamond investments – Is the market free from multiple price bubbles?," International Review of Financial Analysis, Elsevier, vol. 83(C).
    6. Guglielmo Maria Caporale & Luis A. Gil-Alana & Alex Plastun & Ahniia Havrylina, 2022. "Persistence in the Passion Investment Market," CESifo Working Paper Series 9586, CESifo.
    7. Adrian Fernandez-Perez & Bart Frijns & Alireza Tourani-Rad & Jean-Philippe Weisskopf, 2019. "Behavioural heterogeneity in wine investments," Applied Economics, Taylor & Francis Journals, vol. 51(30), pages 3236-3255, June.
    8. Lennon, Conor & Shohfi, Tom, 2021. "Unbridled spirit: Illicit markets for bourbon whiskey," Journal of Economic Behavior & Organization, Elsevier, vol. 191(C), pages 1025-1045.
    9. Savva Shanaev & Nikita Shimkus & Binam Ghimire & Satish Sharma, 2020. "Children’s toy or grown-ups’ gamble? LEGO sets as an alternative investment," Journal of Risk Finance, Emerald Group Publishing Limited, vol. 21(5), pages 577-620, November.
    10. Laurs, DK & Renneboog, Luc, 2018. "My Kingdom for a Horse (or a Classic Car)," Other publications TiSEM 8f244bbd-b78b-491b-9021-d, Tilburg University, School of Economics and Management.
    11. Fur, Eric Le, 2021. "Fine Wines in a Diversified Portfolio of Collectibles," 2021 Conference, August 17-31, 2021, Virtual 315852, International Association of Agricultural Economists.
    12. Plastun, Alex & Bouri, Elie & Havrylina, Ahniia & Ji, Qiang, 2022. "Calendar anomalies in passion investments: Price patterns and profit opportunities," Research in International Business and Finance, Elsevier, vol. 61(C).

  3. Dimson, Elroy & Rousseau, Peter L. & Spaenjers, Christophe, 2013. "The Price of Wine," Working Papers 164656, American Association of Wine Economists.

    Cited by:

    1. Fabien Candau & Florent Deisting & Julie Schlick, 2016. "How Income and Crowding Effects influence the World Market for French Wines," Working papers of CATT hal-01847938, HAL.
    2. Dobrynskaya, Victoria & Kishilova, Julia, 2022. "Lego: The Toy Of Smart Investors," Research in International Business and Finance, Elsevier, vol. 59(C).
    3. Czupryna Marcin & Oleksy Paweł, 2018. "The Effect of an Electronic Exchange on Prices and Return Volatility in the Fine Wine Market," Financial Internet Quarterly (formerly e-Finanse), Sciendo, vol. 14(4), pages 22-35, December.
    4. David Chambers & Elroy Dimson & Christophe Spaenjers, 0. "Art as an Asset: Evidence from Keynes the Collector," The Review of Asset Pricing Studies, Society for Financial Studies, vol. 10(3), pages 490-520.
    5. Samitas, Aristeidis & Papathanasiou, Spyros & Koutsokostas, Drosos & Kampouris, Elias, 2022. "Volatility spillovers between fine wine and major global markets during COVID-19: A portfolio hedging strategy for investors," International Review of Economics & Finance, Elsevier, vol. 78(C), pages 629-642.
    6. Eric Le Fur & Jean-François Outreville, 2019. "Fine wine returns: a review of the literature," Journal of Asset Management, Palgrave Macmillan, vol. 20(3), pages 196-214, May.
    7. Masset, Philippe & Weisskopf, Jean-Philippe & Cardebat, Jean-Marie & Faye, Benoît & Le Fur, Eric, 2021. "Analyzing the risks of an illiquid and global asset: The case of fine wine," The Quarterly Review of Economics and Finance, Elsevier, vol. 82(C), pages 1-25.
    8. Ambre Nicolle & Lukasz Grzybowski & Christine Zulehner, 2018. "Impact Of Competition, Investment, And Regulation On Prices Of Mobile Services: Evidence From France," Economic Inquiry, Western Economic Association International, vol. 56(2), pages 1322-1345, April.
    9. Masset, Philippe & Maurer, Frantz, 2021. "Mitigating downside risk of portfolio diversification: Wine versus other tangible assets," Economic Modelling, Elsevier, vol. 102(C).
    10. Adrian Fernandez-Perez & Bart Frijns & Alireza Tourani-Rad & Jean-Philippe Weisskopf, 2019. "Behavioural heterogeneity in wine investments," Applied Economics, Taylor & Francis Journals, vol. 51(30), pages 3236-3255, June.
    11. Jean-Marie CARDEBAT & Philippe MASSET & Jean-Philippe WEISSKOPF, 2020. "Covid-19 and fine wines: the ‘perfect blend’ for a severe headache?," Bordeaux Economics Working Papers 2020-05, Bordeaux School of Economics (BSE).
    12. Masset, Philippe & Weisskopf, Jean-Philippe & Faye, Benoît & Le Fur, Eric, 2016. "Red obsession: The ascent of fine wine in China," Emerging Markets Review, Elsevier, vol. 29(C), pages 200-225.
    13. Mert Hakan Hekimoğlu & Burak Kazaz, 2020. "Analytics for Wine Futures: Realistic Prices," Production and Operations Management, Production and Operations Management Society, vol. 29(9), pages 2096-2120, September.
    14. Lennon, Conor & Shohfi, Tom, 2021. "Unbridled spirit: Illicit markets for bourbon whiskey," Journal of Economic Behavior & Organization, Elsevier, vol. 191(C), pages 1025-1045.
    15. Cardebat, Jean-Marie & Jiao, Linda, 2018. "The long-term financial drivers of fine wine prices: The role of emerging markets," The Quarterly Review of Economics and Finance, Elsevier, vol. 67(C), pages 347-361.
    16. Savva Shanaev & Nikita Shimkus & Binam Ghimire & Satish Sharma, 2020. "Children’s toy or grown-ups’ gamble? LEGO sets as an alternative investment," Journal of Risk Finance, Emerald Group Publishing Limited, vol. 21(5), pages 577-620, November.
    17. Li, Yuexin & Ma, X. & Renneboog, Luc, 2021. "Pricing Art and the Art of Pricing : On Returns and Risk in Art Auction Markets," Other publications TiSEM 8d25ec25-78dc-4cdc-b054-f, Tilburg University, School of Economics and Management.
    18. Carole Maurel & Françoise Pierrot & Foued Cheriet & Paul Amadieu, 2019. "Inventories in the wine industry: From sector and financial determinants to strategic behaviors," Post-Print hal-02789122, HAL.
    19. Kevin Hoefman & Aaron Bramson & Koen Schoors & Jan Ryckebusch, 2018. "The impact of functional and social value on the price of goods," PLOS ONE, Public Library of Science, vol. 13(11), pages 1-12, November.
    20. Laurs, DK & Renneboog, Luc, 2018. "My Kingdom for a Horse (or a Classic Car)," Other publications TiSEM 8f244bbd-b78b-491b-9021-d, Tilburg University, School of Economics and Management.
    21. Correia, Leonida & Rebelo, João & Caldas, José, 2015. "Production and Trade of Port Wine: Temporal Dynamics and Pricing," Agricultural Economics Review, Greek Association of Agricultural Economists, vol. 16(1), pages 1-15.
    22. Fur, Eric Le, 2021. "Fine Wines in a Diversified Portfolio of Collectibles," 2021 Conference, August 17-31, 2021, Virtual 315852, International Association of Agricultural Economists.
    23. Bargain, Olivier & Cardebat, Jean-Marie & Vignolles, Alexandra, 2016. "Crowdfunding in Wine," Working Papers 234638, American Association of Wine Economists.

  4. Elroy Dimson & Christophe Spaenjers, 2011. "Ex post: The investment performance of collectible stamps," Post-Print hal-00623442, HAL.

    Cited by:

    1. Luc Renneboog, 2015. "Investing in Diamonds," Business and Economic Research, Macrothink Institute, vol. 5(1), pages 166-195, June.
    2. David Le Bris & William Goetzmann & Sébastien Pouget, 2019. "The present value relation over six centuries: The case of the Bazacle company," Post-Print hal-02281530, HAL.
    3. Eric Fur, 2023. "Risk and return of classic car market prices: passion or financial investment?," Journal of Asset Management, Palgrave Macmillan, vol. 24(1), pages 59-68, February.
    4. Philip Hans Franses & Wouter Knecht, 2016. "The late 1970s bubble in Dutch collectible postage stamps," Empirical Economics, Springer, vol. 50(4), pages 1215-1228, June.
    5. Renneboog, L.D.R. & Spaenjers, C., 2009. "Buying Beauty : On Prices and Returns in the Art Market," Discussion Paper 2009-15, Tilburg University, Center for Economic Research.
    6. Scharnowski, Matthias & Scharnowski, Stefan & Zimmermann, Lukas, 2023. "Fan tokens: Sports and speculation on the blockchain," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 89(C).
    7. Dobrynskaya, Victoria & Kishilova, Julia, 2022. "Lego: The Toy Of Smart Investors," Research in International Business and Finance, Elsevier, vol. 59(C).
    8. Renneboog, L.D.R., 2013. "The Returns on Investment Grade Diamonds," Other publications TiSEM 8f089609-a8e5-4587-8f22-a, Tilburg University, School of Economics and Management.
    9. Roman Kraussl & Arthur Korteweg & Patrick Verwijmeren, 2013. "Does it Pay to Invest in Art? A Selection-corrected Returns Perspective," LSF Research Working Paper Series 13-7, Luxembourg School of Finance, University of Luxembourg.
    10. Kleine, Jens & Peschke, Thomas & Wagner, Niklas, 2020. "Rich men’s hobby or question of personality: Who considers collectibles as alternative investment?," Finance Research Letters, Elsevier, vol. 35(C).
    11. Potrykus, Marcin, 2022. "Diamond investments – Is the market free from multiple price bubbles?," International Review of Financial Analysis, Elsevier, vol. 83(C).
    12. Heinrich Ursprung, 2020. "Jane Beats Them All: Price Formation and Financial Returns to Investing in Rare Books," CESifo Working Paper Series 8302, CESifo.
    13. Turner, John D., 2014. "Financial history and financial economics," QUCEH Working Paper Series 14-03, Queen's University Belfast, Queen's University Centre for Economic History.
    14. Antonio Di Cesare & Philip A. Stork & Casper G. de Vries, 2011. "Risk measures for autocorrelated hedge fund returns," Temi di discussione (Economic working papers) 831, Bank of Italy, Economic Research and International Relations Area.
    15. Renneboog, L.D.R. & Spaenjers, C., 2012. "Hard assets : The return on rare diamonds and gems," Other publications TiSEM 32990d12-ac98-4f42-bad5-9, Tilburg University, School of Economics and Management.
    16. Matteo Bonato & Luca Taschini, 2016. "Comovement and the financialization of commodities," GRI Working Papers 215, Grantham Research Institute on Climate Change and the Environment.
    17. Aubry, Mathieu & Kräussl, Roman & Manso, Gustavo & Spaenjers, Christophe, 2023. "Biased auctioneers," CFS Working Paper Series 692, Center for Financial Studies (CFS).
      • Mathieu Aubry & Roman Kräussl & Gustavo Manso & Christophe Spaenjers, 2023. "Biased Auctioneers," Journal of Finance, American Finance Association, vol. 78(2), pages 795-833, April.
    18. Masset, Philippe & Weisskopf, Jean-Philippe & Cardebat, Jean-Marie & Faye, Benoît & Le Fur, Eric, 2021. "Analyzing the risks of an illiquid and global asset: The case of fine wine," The Quarterly Review of Economics and Finance, Elsevier, vol. 82(C), pages 1-25.
    19. Lucey, Brian M. & Devine, Liam, 2015. "Was wine a premier cru investment?," Research in International Business and Finance, Elsevier, vol. 34(C), pages 33-51.
    20. Adrian Fernandez-Perez & Bart Frijns & Alireza Tourani-Rad & Jean-Philippe Weisskopf, 2019. "Behavioural heterogeneity in wine investments," Applied Economics, Taylor & Francis Journals, vol. 51(30), pages 3236-3255, June.
    21. Dimson, Elroy & Rousseau, Peter L. & Spaenjers, Christophe, 2013. "The Price of Wine," Working Papers 164656, American Association of Wine Economists.
    22. M. W. Luke Chan & Dan Sabrina Gong & Terry A. Yip, 2020. "Return on violin and macroeconomic fluctuation," Journal of Cultural Economics, Springer;The Association for Cultural Economics International, vol. 44(2), pages 339-346, June.
    23. Marcos Vizcaíno-González & Susana Iglesias-Antelo & Noelia Romero-Castro, 2019. "Assessing Sustainability-Related Systematic Reputational Risk through Voting Results in Corporate Meetings: A Cross-Industry Analysis," Sustainability, MDPI, vol. 11(5), pages 1-11, March.
    24. Emiliya James & Parthajit Kayal & Moinak Maiti & G. Balasubramanian, 2024. "A Study on the Hedging and Safe-Haven Features of Non-fungible Tokens Segments," Journal of Emerging Market Finance, Institute for Financial Management and Research, vol. 23(4), pages 495-502, December.
    25. Lennon, Conor & Shohfi, Tom, 2021. "Unbridled spirit: Illicit markets for bourbon whiskey," Journal of Economic Behavior & Organization, Elsevier, vol. 191(C), pages 1025-1045.
    26. David le Bris & William N. Goetzmann & Sébastien Pouget, 2014. "Testing Asset Pricing Theory on Six Hundred Years of Stock Returns: Prices and Dividends for the Bazacle Company from 1372 to 1946," NBER Working Papers 20199, National Bureau of Economic Research, Inc.
    27. John E. Grable & Kimberly Watkins, 2016. "Quantifying the Value of Collecting: Implications for Financial Advisers," Journal of Family and Economic Issues, Springer, vol. 37(4), pages 639-648, December.
    28. Savva Shanaev & Nikita Shimkus & Binam Ghimire & Satish Sharma, 2020. "Children’s toy or grown-ups’ gamble? LEGO sets as an alternative investment," Journal of Risk Finance, Emerald Group Publishing Limited, vol. 21(5), pages 577-620, November.
    29. Aubry, Mathieu & Kräussl, Roman & Manso, Gustavo & Spaenjers, Christophe, 2019. "Machine learning, human experts, and the valuation of real assets," CFS Working Paper Series 635, Center for Financial Studies (CFS).
    30. Li, Yuexin & Ma, X. & Renneboog, Luc, 2021. "Pricing Art and the Art of Pricing : On Returns and Risk in Art Auction Markets," Other publications TiSEM 8d25ec25-78dc-4cdc-b054-f, Tilburg University, School of Economics and Management.
    31. Kleine, Jens & Peschke, Thomas & Wagner, Niklas, 2021. "Collectors: Personality between consumption and investment," Journal of Behavioral and Experimental Finance, Elsevier, vol. 32(C).
    32. Fromentin, Vincent & Pecchioli, Bruno & Moroz, David, 2024. "Time-varying causality among whisky, wine, and equity markets," Finance Research Letters, Elsevier, vol. 63(C).
    33. Corey J.M. Williams & Kole Reddig & Adam Nowak, "undated". "Collectible Pricing and Collector Utility: The Role of Production Commitments," Working Papers 24-03, Department of Economics, West Virginia University.
    34. Laurs, DK & Renneboog, Luc, 2018. "My Kingdom for a Horse (or a Classic Car)," Other publications TiSEM 8f244bbd-b78b-491b-9021-d, Tilburg University, School of Economics and Management.
    35. Victoria Dobrynskaya & Julia Grebennikova, 2023. "Financial returns in reward-based crowdfunding," Economic Analysis Letters, Anser Press, vol. 2(3), pages 1-9, May.

  5. Elroy Dimson & Paul Marsh, 1996. "Stress Tests of Capital Requirements," Center for Financial Institutions Working Papers 96-50, Wharton School Center for Financial Institutions, University of Pennsylvania.

    Cited by:

    1. John Cotter, 2004. "Minimum capital requirement calculations for UK futures," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 24(2), pages 193-220, February.
    2. John Cotter, 2004. "Realized volatility and minimum capital requirements," Money Macro and Finance (MMF) Research Group Conference 2003 20, Money Macro and Finance Research Group.
    3. Longin, François, 1999. "From Value at Risk to Stress Testing: The Extreme Value Approach," CEPR Discussion Papers 2161, C.E.P.R. Discussion Papers.
    4. Basu, Sanjay, 2011. "Comparing simulation models for market risk stress testing," European Journal of Operational Research, Elsevier, vol. 213(1), pages 329-339, August.
    5. Cabedo Semper, J. David & Moya Clemente, Ismael, 2003. "Value at risk calculation through ARCH factor methodology: Proposal and comparative analysis," European Journal of Operational Research, Elsevier, vol. 150(3), pages 516-528, November.
    6. Braouezec, Yann & Wagalath, Lakshithe, 2019. "Strategic fire-sales and price-mediated contagion in the banking system," European Journal of Operational Research, Elsevier, vol. 274(3), pages 1180-1197.
    7. Longin, Francois M., 2000. "From value at risk to stress testing: The extreme value approach," Journal of Banking & Finance, Elsevier, vol. 24(7), pages 1097-1130, July.
    8. Brooks, C. & Clare, A. D. & Persand, G., 2000. "A word of caution on calculating market-based minimum capital risk requirements," Journal of Banking & Finance, Elsevier, vol. 24(10), pages 1557-1574, October.

  6. Elroy Dimson and Paul Marsh., 1981. "The Stability of UK Risk Measures and the Problem of Thin Trading," Research Program in Finance Working Papers 120, University of California at Berkeley.

    Cited by:

    1. Hearn, Bruce, 2010. "Time varying size and liquidity effects in South Asian equity markets: A study of blue-chip industry stocks," International Review of Financial Analysis, Elsevier, vol. 19(4), pages 242-257, September.
    2. Nickolaos Travlos & Lenos Trigeorgis & Nikos Vafeas, 2001. "Shareholder Wealth Effects of Dividend Policy Changes in an Emerging Stock Market: The Case of Cyprus," Multinational Finance Journal, Multinational Finance Journal, vol. 5(2), pages 87-112, June.
    3. Pawel Bilinski & Danielle Lyssimachou, 2014. "Risk Interpretation of the CAPM's Beta: Evidence from a New Research Method," Abacus, Accounting Foundation, University of Sydney, vol. 50(2), pages 203-226, June.
    4. Hearn, Bruce, 2011. "Modelling size and liquidity in North African industrial sectors," Emerging Markets Review, Elsevier, vol. 12(1), pages 21-46, March.
    5. Chelley-Steeley, Patricia L. & Skvortsov, Leonid, 2010. "Efficiency and the trading system: The case of SETSmm," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 20(5), pages 509-518, December.
    6. Miroslav Matteev, 2004. "CAPM Anomalies and the Efficiency of Stock Markets in Transition: Evidence from Bulgaria," South-Eastern Europe Journal of Economics, Association of Economic Universities of South and Eastern Europe and the Black Sea Region, vol. 2(1), pages 35-58.
    7. Juergen Bufka & Oliver Kemper & Dirk Schiereck, 2004. "A note on estimating the divisional cost of capital for diversified companies: an empirical evaluation of heuristic-based approaches," The European Journal of Finance, Taylor & Francis Journals, vol. 10(1), pages 68-80.
    8. Humphery-Jenner, M., 2011. "Internal and External Discipline Following Securities Class Actions," Other publications TiSEM 9bcb5c91-4bab-431f-9891-1, Tilburg University, School of Economics and Management.
    9. Goergen, M. & Renneboog, L.D.R., 2002. "Shareholder Wealth Effects of European Domestic and Cross-Border Takeover Bids," Other publications TiSEM f18ce891-6bb6-4f6c-b012-d, Tilburg University, School of Economics and Management.
    10. Arturo Bris & William N. Goetzmann & Ning Zhu, 2003. "Efficiency and the Bear: Short Sales and Markets around the World," Yale School of Management Working Papers ysm321, Yale School of Management.
    11. Hensler, Douglas A. & Herrera, Martin J. & Lockwood, Larry J., 2000. "The performance of initial public offerings in the Mexican stock market, 1987-1993," Journal of International Money and Finance, Elsevier, vol. 19(1), pages 93-116, February.
    12. Bi, XiaoGang & Wang, Danni, 2018. "Top-tier financial advisors, expropriation and Chinese mergers & acquisitions," International Review of Financial Analysis, Elsevier, vol. 57(C), pages 157-166.
    13. Hinz, Holger & Vollmer, Sebastian & Weimann, Carsten, 2012. "Company valuation in thin markets: how does CAPM perform?," Journal of Applied Leadership and Management, Hochschule Kempten - University of Applied Sciences, Professional School of Business & Technology, vol. 1, pages 39-52.
    14. Peijie Wang & Trefor Jones, 2005. "A different approach to estimating betas of securities subject to thin trading and serial correlation," Applied Financial Economics, Taylor & Francis Journals, vol. 15(16), pages 1145-1152.
    15. Arturo Bris & William Goetzmann & Ning Zhu, 2004. "Efficiency and the Bear: Short Sales and Markets around the World," Yale School of Management Working Papers ysm327, Yale School of Management, revised 01 Feb 2005.
    16. Raphael Markellos & Terence Mills, 2003. "Asset pricing dynamics," The European Journal of Finance, Taylor & Francis Journals, vol. 9(6), pages 533-556.
    17. Joachim Gassen & Hollis A. Skaife & David Veenman, 2020. "Illiquidity and the Measurement of Stock Price Synchronicity," Contemporary Accounting Research, John Wiley & Sons, vol. 37(1), pages 419-456, March.
    18. Dimson, Elroy & Mussavian, Massoud, 1999. "Three centuries of asset pricing," Journal of Banking & Finance, Elsevier, vol. 23(12), pages 1745-1769, December.
    19. Olbryś Joanna, 2012. "Arch Effects in Multifactor Market-Timing Models of Polish Mutual Funds," Folia Oeconomica Stetinensia, Sciendo, vol. 10(2), pages 60-80, January.
    20. Jan Bartholdy & Allan Riding, 1994. "Thin Trading And The Estimation Of Betas: The Efficacy Of Alternative Techniques," Journal of Financial Research, Southern Finance Association;Southwestern Finance Association, vol. 17(2), pages 241-254, June.
    21. Dimson, Elroy & Marsh, Paul, 1997. "Stress tests of capital requirements," Journal of Banking & Finance, Elsevier, vol. 21(11-12), pages 1515-1546, December.
    22. Saban Celik, 2012. "Theoretical and Empirical Review of Asset Pricing Models:A Structural Synthesis," International Journal of Economics and Financial Issues, Econjournals, vol. 2(2), pages 141-178.
    23. Humphery-Jenner, Mark & Powell, Ronan, 2014. "Firm size, sovereign governance, and value creation: Evidence from the acquirer size effect," Journal of Corporate Finance, Elsevier, vol. 26(C), pages 57-77.
    24. Humphery-Jenner, M., 2011. "High Frequency Trading, Information, and Takeovers," Other publications TiSEM 30aa1477-0fb2-46ed-a5eb-f, Tilburg University, School of Economics and Management.
    25. Bruce Hearn, 2009. "Liquidity And Valuation In East African Securities Markets," South African Journal of Economics, Economic Society of South Africa, vol. 77(4), pages 553-576, December.
    26. McCahery, J.A. & Renneboog, L.D.R., 2003. "The Economics of the Proposed European Takeover Directive," Other publications TiSEM b16fdfd0-9e4e-44bb-b20f-f, Tilburg University, School of Economics and Management.
    27. Schäffner, Daniel, 2007. "Bestimmung des Ausgangsniveaus der Kosten und des kalkulatorischen Eigenkapitalzinssatzes für eine Anreizregulierung des Energiesektors," WIK Discussion Papers 293, WIK Wissenschaftliches Institut für Infrastruktur und Kommunikationsdienste GmbH.
    28. Alvaro Veiga & Leonardo Souza, 2006. "Using Irregularly Spaced Returns to Estimate Multi-factor Models: Application to Brazilian Equity Data," The European Journal of Finance, Taylor & Francis Journals, vol. 12(6-7), pages 605-626.
    29. Boamah, Nicholas Addai & Watts, Edward & Loudon, Geoffrey, 2017. "Regionally integrated asset pricing on the African stock markets: Evidence from the Fama French and Carhart models," Journal of Economics and Business, Elsevier, vol. 92(C), pages 29-44.
    30. Hearn, Bruce, 2011. "Size and liquidity effects in Japanese regional stock markets," Journal of the Japanese and International Economies, Elsevier, vol. 25(2), pages 157-181, June.
    31. Robert S. Harris & Julian Franks & Colin Mayer, 1987. "Means of Payment in Takeovers: Results for the U.K. and U.S," NBER Working Papers 2456, National Bureau of Economic Research, Inc.
    32. Patricia L. Chelley†Steeley, 2015. "The Role of Pre†Existing Liquidity in Determining Pricing Efficiency and Liquidity Gains Following the Introduction of SETSmm," European Financial Management, European Financial Management Association, vol. 21(2), pages 360-376, March.
    33. Clare, A. D. & Smith, P. N. & Thomas, S. H., 1997. "UK stock returns and robust tests of mean variance efficiency," Journal of Banking & Finance, Elsevier, vol. 21(5), pages 641-660, May.
    34. Warwick Anderson, 2009. "Alternative event study methodology for detecting dividend signals in the context of joint dividend and earnings announcements," Accounting and Finance, Accounting and Finance Association of Australia and New Zealand, vol. 49(2), pages 247-265, June.
    35. Gangemi, Michael & Brooks, Robert & Faff, Robert, 1999. "Mean reversion and the forecasting of country betas: a note," Global Finance Journal, Elsevier, vol. 10(2), pages 231-245.
    36. Humphery-Jenner, M., 2011. "High Frequency Trading, Information, and Takeovers," Other publications TiSEM 0e6dd147-6f57-4f32-b265-f, Tilburg University, School of Economics and Management.
    37. Martynova, M. & Renneboog, L.D.R., 2006. "Mergers and Acquisitions in Europe," Other publications TiSEM f33698ff-8dc9-4024-8a44-1, Tilburg University, School of Economics and Management.
    38. Humphery-Jenner, M., 2011. "High Frequency Trading, Information, and Takeovers," Discussion Paper 2011-047, Tilburg University, Center for Economic Research.
    39. Malkamäki, Markku, 1992. "Estimating conditional betas and the price of risk for a thin stock market," Bank of Finland Research Discussion Papers 8/1992, Bank of Finland.
    40. Humphery-Jenner, M., 2011. "Internal and External Discipline Following Securities Class Actions," Discussion Paper 2011-044, Tilburg University, Center for Economic Research.
    41. Frankovic, Jozo & Liu, Bin & Suardi, Sandy, 2022. "On spillover effects between cryptocurrency-linked stocks and the cryptocurrency market: Evidence from Australia," Global Finance Journal, Elsevier, vol. 54(C).
    42. Wulff, Christian, 1999. "The market reaction to stock splits: Evidence from Germany," SFB 373 Discussion Papers 1999,42, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes.
    43. Humphery-Jenner, M., 2011. "Internal and External Discipline Following Securities Class Actions," Other publications TiSEM 072318eb-d214-4c7a-ac7a-d, Tilburg University, School of Economics and Management.
    44. Humphery-Jenner, Mark L., 2012. "Internal and external discipline following securities class actions," Journal of Financial Intermediation, Elsevier, vol. 21(1), pages 151-179.
    45. Hearn, Bruce, 2013. "Size and liquidity effects in Nigeria: an industrial sector study," MPRA Paper 47975, University Library of Munich, Germany.
    46. Bruce Hearn, 2016. "A Comparison of the Efficacy of Liquidity, Momentum, Size and Book‐to‐Market Value Factors in Equity Pricing on a Heterogeneous Sample: Evidence from Asia," Financial Markets, Institutions & Instruments, John Wiley & Sons, vol. 25(4), pages 253-330, November.
    47. Hearn, Bruce & Phylaktis, Kate & Piesse, Jenifer, 2017. "Expropriation risk by block holders, institutional quality and expected stock returns," Journal of Corporate Finance, Elsevier, vol. 45(C), pages 122-149.
    48. Teppo Martikainen, 1991. "The impact of infrequent trading on betas based on daily, weekly and monthly return intervals : empirical evidence with Finnish data," Finnish Economic Papers, Finnish Economic Association, vol. 4(1), pages 52-64, Spring.
    49. Hearn, Bruce & Li, Jing & Mykhayliv, Dariya & Waqas, Muhammad, 2021. "Asset pricing in the Middle East’s equity markets," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 72(C).
    50. Lim, Terence & Lo, Andrew W. & Merton, Robert C. & Scholes, Myron S., 2006. "The Derivatives Sourcebook," Foundations and Trends(R) in Finance, now publishers, vol. 1(5–6), pages 365-572, April.
    51. Hans Dillen & Bo Stoltz, 1999. "The distribution of stock market returns and the market model," Finnish Economic Papers, Finnish Economic Association, vol. 12(1), pages 41-56, Spring.

Articles

  1. David Chambers & Elroy Dimson & Charikleia Kaffe, 2020. "Seventy-Five Years of Investing for Future Generations," Financial Analysts Journal, Taylor & Francis Journals, vol. 76(4), pages 5-21, October.

    Cited by:

    1. Tom Arnold & John H. Earl & Joseph Farizo & David North, 2024. "Endowment asset allocations: insights and strategies," Journal of Asset Management, Palgrave Macmillan, vol. 25(4), pages 349-368, July.

  2. Dimson, Elroy & Rousseau, Peter L. & Spaenjers, Christophe, 2015. "The price of wine," Journal of Financial Economics, Elsevier, vol. 118(2), pages 431-449.
    See citations under working paper version above.
  3. Chambers, David & Dimson, Elroy & Foo, Justin, 2015. "Keynes the Stock Market Investor: A Quantitative Analysis," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 50(4), pages 843-868, August.

    Cited by:

    1. Carlo Cristiano & Maria Cristina Marcuzzo & Eleonora Sanfilippo, 2018. "Taming the great depression: Keynes’s personal investments in the US stock market, 1931–1939," Economia Politica: Journal of Analytical and Institutional Economics, Springer;Fondazione Edison, vol. 35(1), pages 13-40, April.
    2. Marcuzzo, Maria Cristina & Sanfilippo, Eleonora, 2022. "Keynes's personal investments in the London Stock Exchange and his views on the transformation of the British economy," Structural Change and Economic Dynamics, Elsevier, vol. 61(C), pages 512-526.
    3. Chambers, David, 2019. "Commodity Option Pricing Efficiency before Black Scholes Merton," CEPR Discussion Papers 13975, C.E.P.R. Discussion Papers.
    4. David Chambers & Elroy Dimson & Christophe Spaenjers, 0. "Art as an Asset: Evidence from Keynes the Collector," The Review of Asset Pricing Studies, Society for Financial Studies, vol. 10(3), pages 490-520.
    5. Accominotti, Olivier & Chambers, David, 2016. "If You're So Smart: John Maynard Keynes and Currency Speculation in the Interwar Years," The Journal of Economic History, Cambridge University Press, vol. 76(2), pages 342-386, June.
    6. David Chambers & Christophe Spaenjers & Eva Maria Steiner, 2020. "The Rate of Return on Real Estate: Long-Run Micro-Level Evidence," Working Papers hal-02896386, HAL.
    7. Lehmann-Hasemeyer, Sibylle H. & Neumayer, Andreas, 2018. "The persistence of ownership inequality. Investors on the German stock exchanges, 1869 – 1945," Working Papers 8, German Research Foundation's Priority Programme 1859 "Experience and Expectation. Historical Foundations of Economic Behaviour", Humboldt University Berlin.
    8. David A Bogle & Christopher Coyle & John D Turner, 2022. "Capital market development over the long run: the portfolios of UK life assurers over two centuries [Corporate ownership and control in Victorian Britain]," European Review of Economic History, European Historical Economics Society, vol. 26(3), pages 370-398.
    9. Dimitris P. Sotiropoulos & Janette Rutterford & Carolyn Keber, 2020. "UK investment trust portfolio strategies before the First World War," Economic History Review, Economic History Society, vol. 73(3), pages 785-814, August.
    10. David Chambers & Rasheed Saleuddin, 2020. "Commodity option pricing efficiency before Black, Scholes, and Merton," Economic History Review, Economic History Society, vol. 73(2), pages 540-564, May.
    11. Stephan Schulmeister, 2019. "Keynes und die Finanzmärkte. Auf halbem Weg vom "homo oeconomicus" zum "homo humanus"," WIFO Working Papers 588, WIFO.
    12. Lehmann-Hasemeyer, Sibylle H. & Neumayer, Andreas, 2018. "The persistence of ownership inequality: Investors on the German stock exchanges, 1869-1945," Hohenheim Discussion Papers in Business, Economics and Social Sciences 20-2018, University of Hohenheim, Faculty of Business, Economics and Social Sciences.

  4. Elroy Dimson & Oğuzhan Karakaş & Xi Li, 2015. "Editor's Choice Active Ownership," The Review of Financial Studies, Society for Financial Studies, vol. 28(12), pages 3225-3268.

    Cited by:

    1. Renneboog, L.D.R. & Liang, H. & Ferrell, A., 2014. "Socially Responsible Firms," Discussion Paper 2014-029, Tilburg University, Tilburg Law and Economic Center.
    2. Dirk Schoenmaker, 2017. "Investing for the common good- a sustainable finance framework," Essays and Lectures 21249, Bruegel.
    3. Ian R. Appel & Todd A. Gormley & Donald B. Keim, 2016. "Standing on the Shoulders of Giants: The Effect of Passive Investors on Activism," NBER Working Papers 22707, National Bureau of Economic Research, Inc.
    4. He, Feng & Guo, Xinyao & Yue, Pengpeng, 2024. "Media coverage and corporate ESG performance: Evidence from China," International Review of Financial Analysis, Elsevier, vol. 91(C).
    5. Tamas Barko & Martijn Cremers & Luc Renneboog, 2022. "Shareholder Engagement on Environmental, Social, and Governance Performance," Journal of Business Ethics, Springer, vol. 180(2), pages 777-812, October.
    6. Joos, Michael & Staffell, Iain, 2018. "Short-term integration costs of variable renewable energy: Wind curtailment and balancing in Britain and Germany," Renewable and Sustainable Energy Reviews, Elsevier, vol. 86(C), pages 45-65.
    7. Gine, Mireia & Moussawi, Rabih & Sedunov, John, 2017. "Governance mechanisms and effective activism: Evidence from shareholder proposals on poison pills," Journal of Empirical Finance, Elsevier, vol. 43(C), pages 185-202.
    8. Wang, Yanbing & Delgado, Michael & Xu, Jin, 2016. "Long-term financial incentive of environmental responsibility -- socially responsible investing and firm cost of capital," 2016 Annual Meeting, July 31-August 2, Boston, Massachusetts 235994, Agricultural and Applied Economics Association.
    9. Steven F. Cahan & Chen Chen & Li Chen, 2017. "Social Norms and CSR Performance," Journal of Business Ethics, Springer, vol. 145(3), pages 493-508, October.
    10. El Ghoul, Sadok & Guedhami, Omrane & Wang, He & Kwok, Chuck C.Y., 2016. "Family control and corporate social responsibility," Journal of Banking & Finance, Elsevier, vol. 73(C), pages 131-146.
    11. Boubakri, Narjess & El Ghoul, Sadok & Wang, He & Guedhami, Omrane & Kwok, Chuck C.Y., 2016. "Cross-listing and corporate social responsibility," Journal of Corporate Finance, Elsevier, vol. 41(C), pages 123-138.

  5. Elroy Dimson & Christophe Spaenjers, 2014. "Investing in Emotional Assets," Financial Analysts Journal, Taylor & Francis Journals, vol. 70(2), pages 20-25, March.
    See citations under working paper version above.
  6. David Chambers & Elroy Dimson, 2013. "Retrospectives: John Maynard Keynes, Investment Innovator," Journal of Economic Perspectives, American Economic Association, vol. 27(3), pages 213-228, Summer.

    Cited by:

    1. Carlo Cristiano & Maria Cristina Marcuzzo & Eleonora Sanfilippo, 2018. "Taming the great depression: Keynes’s personal investments in the US stock market, 1931–1939," Economia Politica: Journal of Analytical and Institutional Economics, Springer;Fondazione Edison, vol. 35(1), pages 13-40, April.
    2. Marcuzzo, Maria Cristina & Sanfilippo, Eleonora, 2022. "Keynes's personal investments in the London Stock Exchange and his views on the transformation of the British economy," Structural Change and Economic Dynamics, Elsevier, vol. 61(C), pages 512-526.
    3. Chambers, David & Esteves, Rui, 2014. "The first global emerging markets investor: Foreign & Colonial Investment Trust 1880–1913," Explorations in Economic History, Elsevier, vol. 52(C), pages 1-21.
    4. David Chambers & Elroy Dimson & Christophe Spaenjers, 0. "Art as an Asset: Evidence from Keynes the Collector," The Review of Asset Pricing Studies, Society for Financial Studies, vol. 10(3), pages 490-520.
    5. Accominotti, Olivier & Chambers, David, 2016. "If You're So Smart: John Maynard Keynes and Currency Speculation in the Interwar Years," The Journal of Economic History, Cambridge University Press, vol. 76(2), pages 342-386, June.
    6. Lehmann-Hasemeyer, Sibylle H. & Neumayer, Andreas, 2018. "The persistence of ownership inequality. Investors on the German stock exchanges, 1869 – 1945," Working Papers 8, German Research Foundation's Priority Programme 1859 "Experience and Expectation. Historical Foundations of Economic Behaviour", Humboldt University Berlin.
    7. David A Bogle & Christopher Coyle & John D Turner, 2022. "Capital market development over the long run: the portfolios of UK life assurers over two centuries [Corporate ownership and control in Victorian Britain]," European Review of Economic History, European Historical Economics Society, vol. 26(3), pages 370-398.
    8. David Chambers & Elroy Dimson & Justin Foo, 2013. "Keynes, King's, and Endowment Asset Management," NBER Chapters, in: How the Financial Crisis and Great Recession Affected Higher Education, pages 127-150, National Bureau of Economic Research, Inc.
    9. David Chambers & Rasheed Saleuddin, 2020. "Commodity option pricing efficiency before Black, Scholes, and Merton," Economic History Review, Economic History Society, vol. 73(2), pages 540-564, May.
    10. Pies, Ingo, 2013. "Theoretische Grundlagen demokratischer Wirtschafts- und Gesellschaftspolitik: Der Beitrag von John Maynard Keynes," Discussion Papers 2013-16, Martin Luther University of Halle-Wittenberg, Chair of Economic Ethics.
    11. Christian Hecker, 2021. "How Should Responsible Investors Behave? Keynes’s Distinction Between Entrepreneurship and Speculation Revisited," Journal of Business Ethics, Springer, vol. 171(3), pages 459-473, July.
    12. Lehmann-Hasemeyer, Sibylle H. & Neumayer, Andreas, 2018. "The persistence of ownership inequality: Investors on the German stock exchanges, 1869-1945," Hohenheim Discussion Papers in Business, Economics and Social Sciences 20-2018, University of Hohenheim, Faculty of Business, Economics and Social Sciences.

  7. Dimson, Elroy & Spaenjers, Christophe, 2011. "Ex post: The investment performance of collectible stamps," Journal of Financial Economics, Elsevier, vol. 100(2), pages 443-458, May.
    See citations under working paper version above.
  8. David Chambers & Elroy Dimson, 2009. "IPO Underpricing over the Very Long Run," Journal of Finance, American Finance Association, vol. 64(3), pages 1407-1443, June.

    Cited by:

    1. Klova, Valeriia, 2017. "IPO underpricing: What about the shipping sector?," Journal of Multinational Financial Management, Elsevier, vol. 42, pages 95-115.
    2. Abrahamson, Martin & De Ridder, Adri, 2015. "Allocation of shares to foreign and domestic investors: Firm and ownership characteristics in Swedish IPOs," Research in International Business and Finance, Elsevier, vol. 34(C), pages 52-65.
    3. Akyol, Ali C. & Cooper, Tommy & Meoli, Michele & Vismara, Silvio, 2014. "Do regulatory changes affect the underpricing of European IPOs?," Journal of Banking & Finance, Elsevier, vol. 45(C), pages 43-58.
    4. Anderloni, Luisa & Tanda, Alessandra, 2017. "Green energy companies: Stock performance and IPO returns," Research in International Business and Finance, Elsevier, vol. 39(PA), pages 546-552.
    5. Hafiz Hoque, 2011. "The Choice and Role of Lockups in IPOs: Evidence from Heterogeneous Lockup Agreements," Financial Markets, Institutions & Instruments, John Wiley & Sons, vol. 20(5), pages 191-220, December.
    6. Gounopoulos, Dimitrios & Mazouz, Khelifa & Wood, Geoffrey, 2021. "The consequences of political donations for IPO premium and performance," Journal of Corporate Finance, Elsevier, vol. 67(C).
    7. Chambers, David, 2019. "Commodity Option Pricing Efficiency before Black Scholes Merton," CEPR Discussion Papers 13975, C.E.P.R. Discussion Papers.
    8. Fisch, Christian & Momtaz, Paul P., 2020. "Institutional investors and post-ICO performance: an empirical analysis of investor returns in initial coin offerings (ICOs)," Journal of Corporate Finance, Elsevier, vol. 64(C).
    9. Acheson, Graeme G. & Coyle, Christopher & Turner, John D., 2015. "Happy hour followed by hangover: Financing the UK brewery industry, 1880-1913," QUCEH Working Paper Series 15-01, Queen's University Belfast, Queen's University Centre for Economic History.
    10. Hoque, Hafiz & Mu, Shaolong, 2021. "Does a reduction of state control affect IPO underpricing? Evidence from the Chinese A-share market," Journal of International Money and Finance, Elsevier, vol. 115(C).
    11. Mattia Cattaneo & Michele Meoli, 2013. "Investor protection and IPO survival in the Italian stock market," Chapters, in: Mario Levis & Silvio Vismara (ed.), Handbook of Research on IPOs, chapter 7, pages 141-158, Edward Elgar Publishing.
    12. Thomas J. Chemmanur & Dimitrios Gounopoulos & Panagiotis Koutroumpis & Yu Zhang, 2022. "CSR and Firm Survival: Evidence from the Climate and Pandemic Crises," Working Papers 935, Queen Mary University of London, School of Economics and Finance.
    13. Jun Qi & Qinwei Chi & Ni Yang & Junyan Ouyang, 2023. "The Impact of the Tone of a Prospectus on IPO Underpricing: Evidence from China," Australian Accounting Review, CPA Australia, vol. 33(4), pages 375-390, December.
    14. Fabienne Schneider, 2024. "On-the-run Premia, Settlement Fails, and Central Bank Access," Working Papers 24.05, Swiss National Bank, Study Center Gerzensee.
    15. Chang, Chih-Hsiang, 2011. "IPO underpricing: A social comparison perspective," International Review of Economics & Finance, Elsevier, vol. 20(3), pages 367-375, June.
    16. Tian, Lihui, 2011. "Regulatory underpricing: Determinants of Chinese extreme IPO returns," Journal of Empirical Finance, Elsevier, vol. 18(1), pages 78-90, January.
    17. Marc Deloof & Abe Jong & Wilco Legierse, 2023. "Going public: evidence from stock and bond IPOs in Belgium, 1839–1935," Cliometrica, Springer;Cliometric Society (Association Francaise de Cliométrie), vol. 17(3), pages 433-466, September.
    18. Chi, Jing & McWha, Matthew & Young, Martin, 2010. "The performance and the survivorship of New Zealand IPOs," International Review of Financial Analysis, Elsevier, vol. 19(3), pages 172-180, June.
    19. Shaio Yan Huang & Chao-Hsiung Lee & Lee-Hsien Pan & Bich Hanh Nguyen Thi, 2016. "IPO Initial Excess Return in an Emerging Market: Evidence from Vietnam’s Stock Exchanges," Review of Pacific Basin Financial Markets and Policies (RPBFMP), World Scientific Publishing Co. Pte. Ltd., vol. 19(02), pages 1-23, June.
    20. Signori, Andrea & Vismara, Silvio, 2018. "M&A synergies and trends in IPOs," Technological Forecasting and Social Change, Elsevier, vol. 127(C), pages 141-153.
    21. Yang, Zhenyi & Cao, Xiaping & Lin, Wenlian & Liu, Jianhua, 2023. "The gatekeeping role of regulators and intermediaries: Evidence from regulatory reforms in China's IPO market," Economic Modelling, Elsevier, vol. 120(C).
    22. Chourou, Lamia & Saadi, Samir & Zhu, Hui, 2018. "How does national culture influence IPO underpricing?," Pacific-Basin Finance Journal, Elsevier, vol. 51(C), pages 318-341.
    23. Ongena, Steven & Braggion, Fabio, 2013. "A Century of Firm ? Bank Relationships: Did Banking Sector Deregulation Spur Firms to Add Banks and Borrow More?," CEPR Discussion Papers 9695, C.E.P.R. Discussion Papers.
    24. Turner, John D., 2014. "Financial history and financial economics," QUCEH Working Paper Series 14-03, Queen's University Belfast, Queen's University Centre for Economic History.
    25. James Foreman-Peck & Leslie Hannah, 2012. "Some Consequences of the Early Twentieth Century Divorce of Ownership from Control," CIRJE F-Series CIRJE-F-864, CIRJE, Faculty of Economics, University of Tokyo.
    26. Yibiao Chen & Steven S. Wang & Wilson H. S. Tong & Hui Zhu, 2017. "Economic freedom and IPO underpricing," Frontiers of Business Research in China, Springer, vol. 11(1), pages 1-22, December.
    27. Chu-hsuan Chang & Woan-lih Liang & Yanzhi Wang, 2024. "Trade secret laws and initial public offering underpricing," Review of Quantitative Finance and Accounting, Springer, vol. 63(1), pages 325-353, July.
    28. Muhammad Zubair Mumtaz & Zachary A. Smith & Ather Maqsood Ahmed, 2016. "An examination of short-run performance of IPOs using Extreme Bounds Analysis," Estudios de Economia, University of Chile, Department of Economics, vol. 43(1 Year 20), pages 71-95, June.
    29. Ni, Yensen & Huang, Paoyu, 2015. "Do IPOs matter for price limits? Evidence from Taiwan," The Quarterly Review of Economics and Finance, Elsevier, vol. 58(C), pages 74-83.
    30. Carsten Burhop & David Chambers & Brian Cheffins, 2011. "Is Regulation Essential to Stock Market Development? Going Public in London and Berlin, 1900-1913," Cologne Economic History papers 10, University of Cologne, Department of Economic and Business History, revised Mar 2011.
    31. Florian Nagler & Giorgio Ottonello, 2017. "Structural Changes in Corporate Bond Underpricing," BAFFI CAREFIN Working Papers 1748, BAFFI CAREFIN, Centre for Applied Research on International Markets Banking Finance and Regulation, Universita' Bocconi, Milano, Italy.
    32. Kuvshinov, Dmitry & Zimmermann, Kaspar, 2022. "The big bang: Stock market capitalization in the long run," Journal of Financial Economics, Elsevier, vol. 145(2), pages 527-552.
    33. Carsten Burhop & Thorsten Luebbers, 2011. "The design of licensing contracts: Chemicals, Pharmaceuticals, and Electrical Engineering in Imperial Germany," Cologne Economic History papers 11, University of Cologne, Department of Economic and Business History, revised Jun 2011.
    34. Janette Rutterford & David R. Green & Josephine Maltby & Alastair Owens, 2011. "Who comprised the nation of shareholders? Gender and investment in Great Britain, c. 1870–1935," Economic History Review, Economic History Society, vol. 64(1), pages 157-187, February.
    35. Pengda Fan & Kazuo Yamada, 2020. "Same bed different dream composition of IPO shares and withdrawal decisions in weak market conditions," Small Business Economics, Springer, vol. 55(4), pages 955-974, December.
    36. Chun Zhou & Wenyu Zhou & Jiajun Lu, 2021. "The Short-Term Impacts of the Registration-Based IPO Reform in China: Towards a More Sustainable Equity Market," Sustainability, MDPI, vol. 13(20), pages 1-17, October.
    37. Hafiz Hoque & Meziane Lasfer, 2015. "Directors' Dealing and Post†IPO Performance," European Financial Management, European Financial Management Association, vol. 21(1), pages 178-204, January.
    38. Kanagaretnam, Kiridaran & Lee, Jimmy & Lim, Chee Yeow & Lobo, Gerald J., 2022. "Trusting the stock market: Further evidence from IPOs around the world," Journal of Banking & Finance, Elsevier, vol. 142(C).
    39. Gounopoulos, Dimitrios & Kallias, Antonios & Kallias, Konstantinos & Tzeremes, Panayiotis G., 2017. "Political money contributions of U.S. IPOs," Journal of Corporate Finance, Elsevier, vol. 43(C), pages 19-38.
    40. Carsten Burhop & David Chambers & Brian Cheffins, 2011. "Is Regulation Essential to Stock Market Development? Going Public in London and Berlin, 1900-1913," Discussion Paper Series of the Max Planck Institute for Research on Collective Goods 2011_15, Max Planck Institute for Research on Collective Goods.
    41. Robert N. Eberhart & Charles E. Eesley, 2018. "The dark side of institutional intermediaries: Junior stock exchanges and entrepreneurship," Strategic Management Journal, Wiley Blackwell, vol. 39(10), pages 2643-2665, October.
    42. Wilco Legierse, 2023. "Offering Method and Pricing of IPOs: An Analysis of Stock IPOs in the Netherlands, 1918–1939," De Economist, Springer, vol. 171(3), pages 207-238, September.
    43. Stavros Thomadakis & Dimitrios Gounopoulos & Christos Nounis & Andreas Merikas, 2016. "Collateral Regulation and IPO†Specific Liberalisation: the Case of Price Limits in the Athens Stock Exchange," European Financial Management, European Financial Management Association, vol. 22(2), pages 276-312, March.
    44. Doukakis, Leonidas C. & Papanastasopoulos, Georgios A., 2014. "The accrual anomaly in the U.K. stock market: Implications of growth and accounting distortions," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 32(C), pages 256-277.
    45. Fabio Braggion & Lyndon Moore, 2013. "How insiders traded before rules," Business History, Taylor & Francis Journals, vol. 55(4), pages 565-584, June.
    46. Carsten Burhop, 2011. "The Underpricing of Initial Public Offerings at the Berlin Stock Exchange, 1870–96," German Economic Review, Verein für Socialpolitik, vol. 12(1), pages 11-32, February.
    47. Karanović Goran & Karanović Bisera, 2016. "IPOs Performance Analysis: Evidence from Emerging Markets in the Balkans," Scientific Annals of Economics and Business, Sciendo, vol. 63(3), pages 381-389, November.
    48. Grant Fleming & Zhangxin (Frank) Liu & David Merrett & Simon Ville, 2021. "Underpricing in a developing capital market: Australian equity issuances, 1920–39†," Economic History Review, Economic History Society, vol. 74(3), pages 831-855, August.
    49. Wołoszyn Adrian & Zarzecki Dariusz, 2013. "The impact of the january effect on the IPO underpricing in Poland," Folia Oeconomica Stetinensia, Sciendo, vol. 13(1), pages 121-135, December.
    50. David Chambers & Rasheed Saleuddin, 2020. "Commodity option pricing efficiency before Black, Scholes, and Merton," Economic History Review, Economic History Society, vol. 73(2), pages 540-564, May.
    51. Cattaneo, Mattia & Meoli, Michele & Vismara, Silvio, 2015. "Financial regulation and IPOs: Evidence from the history of the Italian stock market," Journal of Corporate Finance, Elsevier, vol. 31(C), pages 116-131.
    52. Florian Nagler & Giorgio Ottonello, 2022. "Inventory-Constrained Underwriters and Corporate Bond Offerings [Signalling by underpricing in the IPO market]," The Review of Asset Pricing Studies, Society for Financial Studies, vol. 12(3), pages 639-666.
    53. Nielsson, Ulf & Wójcik, Dariusz, 2016. "Proximity and IPO underpricing," Journal of Corporate Finance, Elsevier, vol. 38(C), pages 92-105.
    54. Chuluun, Tuugi, 2015. "The role of underwriter peer networks in IPOs," Journal of Banking & Finance, Elsevier, vol. 51(C), pages 62-78.
    55. Marc Goergen & Dimitrios Gounopoulos & Panagiotis Koutroumpis, 2019. "Do Multiple Credit Ratings Reduce Money Left on the Table? Evidence from US. IPOs," Working Papers 884, Queen Mary University of London, School of Economics and Finance.
    56. Anqi Li & Xue Li & Jiayan Liu & Aochen Cao, 2024. "Diversity of Institutional Investors’ Bidding Opinions in Shaping the Sustainability of IPO Performance," Sustainability, MDPI, vol. 16(11), pages 1-21, May.
    57. Dorsman, André & Gounopoulos, Dimitrios, 2013. "European Sovereign Debt Crisis and the performance of Dutch IPOs," International Review of Financial Analysis, Elsevier, vol. 30(C), pages 308-319.
    58. Sibylle H. Lehmann, 2014. "Taking firms to the stock market: IPOs and the importance of large banks in imperial Germany, 1896–1913," Economic History Review, Economic History Society, vol. 67(1), pages 92-122, February.
    59. Colombo, Massimo G. & Meoli, Michele & Vismara, Silvio, 2019. "Signaling in science-based IPOs: The combined effect of affiliation with prestigious universities, underwriters, and venture capitalists," Journal of Business Venturing, Elsevier, vol. 34(1), pages 141-177.
    60. Abe de Jong & Wilco Legierse, 2022. "What causes hot markets for equity IPOs? An analysis of initial public offerings in the Netherlands, 1876–2015 [Market timing and capital structure]," European Review of Economic History, European Historical Economics Society, vol. 26(2), pages 208-233.
    61. Ye, Qiaozhi & Huang, Ronghong & Tan, Kelvin Jui Keng, 2023. "Missing the boat: Regulatory approval delay and investment project outcomes," The British Accounting Review, Elsevier, vol. 55(6).
    62. Georgakopoulos, Georgios & Gounopoulos, Dimitrios & Huang, Chen & Patsika, Victoria, 2022. "The impact of IFRS adoption on IPOs management earnings forecasts in Australia," Journal of International Accounting, Auditing and Taxation, Elsevier, vol. 48(C).
    63. Andrea Signori & Silvio Vismara, 2017. "Stock-financed M&As of newly listed firms," Small Business Economics, Springer, vol. 48(1), pages 115-134, January.
    64. Sibylle Lehmann, 2011. "Taking Firms to the Stock Market: IPOs and the Importance of Universal Banks in Imperial Germany 1896-1913," Cologne Economic History papers 9, University of Cologne, Department of Economic and Business History, revised Mar 2011.
    65. Shantanu Banerjee & Ufuk Güçbilmez & Grzegorz Pawlina, 2013. "IPO waves and hot markets in the UK," Chapters, in: Mario Levis & Silvio Vismara (ed.), Handbook of Research on IPOs, chapter 4, pages 76-98, Edward Elgar Publishing.
    66. Paul P Momtaz, 2020. "Initial Coin Offerings," PLOS ONE, Public Library of Science, vol. 15(5), pages 1-30, May.
    67. Signori, Andrea, 2018. "Zero-revenue IPOs," International Review of Financial Analysis, Elsevier, vol. 57(C), pages 106-121.
    68. , & Streb, Jochen, 2015. "The Berlin Stock Exchange in Imperial Germany ? a Market for New Technology?," CEPR Discussion Papers 10558, C.E.P.R. Discussion Papers.
    69. Engelen, Peter-Jan & van Essen, Marc, 2010. "Underpricing of IPOs: Firm-, issue- and country-specific characteristics," Journal of Banking & Finance, Elsevier, vol. 34(8), pages 1958-1969, August.
    70. Fjesme, Sturla L. & Galpin, Neal E. & Moore, Lyndon, 2021. "Rejected stock exchange applicants," Journal of Financial Economics, Elsevier, vol. 139(2), pages 502-521.
    71. Hon-Wei Leow & Wee-Yeap Lau, 2018. "The Impact of Global Financial Crisis on IPO Underpricing in Malaysian Stock Market," Review of Pacific Basin Financial Markets and Policies (RPBFMP), World Scientific Publishing Co. Pte. Ltd., vol. 21(04), pages 1-17, December.
    72. Fjesme, Sturla & Hannah, Leslie & Moore, Lyndon, 2024. "Informed investors, screening, and sorting on the London capital market, 1891-1913," Explorations in Economic History, Elsevier, vol. 91(C).
    73. Goran KARANOVIĆ & Bisera KARANOVIĆ, 2016. "IPOs PERFORMANCE ANALYSIS: EVIDENCE FROM EMERGING MARKETS IN THE BALKANS," Scientific Annals of Economics and Business (continues Analele Stiintifice), Alexandru Ioan Cuza University, Faculty of Economics and Business Administration, vol. 63(3), pages 381-389, November.
    74. Sibylle Lehmann, 2010. "Explaining the performance of Initial Public Offerings in Imperial Germany, 1897-1914: the role of reputation," Working Papers 10005, Economic History Society.
    75. Marc Deloof & Ine Paeleman, 2024. "International entrepreneurship without investor protection: Evidence from initial public offerings in Belgium before the First World War," Economic History Review, Economic History Society, vol. 77(2), pages 523-553, May.
    76. Burhop, Carsten & Chambers, David & Cheffins, Brian, 2014. "Regulating IPOs: Evidence from going public in London, 1900–1913," Explorations in Economic History, Elsevier, vol. 51(C), pages 60-76.
    77. Hoque, Hafiz, 2014. "Role of asymmetric information and moral hazard on IPO underpricing and lockup," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 30(C), pages 81-105.
    78. David Chambers, 2007. "Financial Dependence and Firm Survival in Interwar Britain," Economics Series Working Papers 377, University of Oxford, Department of Economics.
    79. Ekkayokkaya, Manapol & Pengniti, Tulaya, 2012. "Governance reform and IPO underpricing," Journal of Corporate Finance, Elsevier, vol. 18(2), pages 238-253.

  9. Elroy Dimson & Paul Marsh & Mike Staunton, 2004. "Irrational Optimism," Financial Analysts Journal, Taylor & Francis Journals, vol. 60(1), pages 15-25, January.

    Cited by:

    1. Pfau, Wade Donald, 2011. "Safe Savings Rates: A New Approach to Retirement Planning over the Lifecycle," MPRA Paper 28796, University Library of Munich, Germany.
    2. Claude B. Erb & Campbell R. Harvey, 2005. "The Tactical and Strategic Value of Commodity Futures," NBER Working Papers 11222, National Bureau of Economic Research, Inc.
    3. Pfau, Wade Donald, 2010. "Will 2000-era retirees experience the worst retirement outcomes in U.S. history? A progress report after 10 years," MPRA Paper 27107, University Library of Munich, Germany.
    4. Pfau, Wade Donald, 2010. "Predicting Sustainable Retirement Withdrawal Rates Using Valuation and Yield Measures," MPRA Paper 27487, University Library of Munich, Germany.

  10. Edward Altman & George Benston & Gerald Bierwag & Marshall Blume & Richard Brealey & Willard Carleton & Andrew Chen & Elroy Dimson & Franklin Edwards & Robert Eisenbeis & Wayne Ferson & Mark Flannery , 2004. "The Controversy Over Executive Compensation," Journal of Applied Corporate Finance, Morgan Stanley, vol. 16(1), pages 108-111, January.

    Cited by:

    1. Ayotunde Adebayo, 2021. "Linking leadership and psychopathy: Looking for evidence in tertiary institutions," Sociology and Social Work Review, International Society for projects in Education and Research, vol. 5(1), pages 6-20, June.

  11. Elroy Dimson & Bernd Hanke, 2004. "The Expected Illiquidity Premium: Evidence from Equity Index-Linked Bonds," Review of Finance, Springer, vol. 8(1), pages 19-47.

    Cited by:

    1. Goldreich, David & Hanke, Bernd & Nath, Purnendu, 2003. "The Price of Future Liquidity: Time-Varying Liquidity in the US Treasury Market," CEPR Discussion Papers 3900, C.E.P.R. Discussion Papers.
    2. Houweling, P. & Mentink, A.A. & Vorst, A.C.F., 2003. "Comparing possible proxies of corporate bond liquidity," Econometric Institute Research Papers EI 2003-49, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
    3. Millar, Melanie I. & White, Roger M., 2024. "Do residential property assessed clean energy (PACE) financing programs affect local house price growth?," Journal of Environmental Economics and Management, Elsevier, vol. 124(C).
    4. Andrew Ellul & Marco Pagano, 2006. "IPO Underpricing and After-Market Liquidity," The Review of Financial Studies, Society for Financial Studies, vol. 19(2), pages 381-421.
    5. Kenjiro Hori & Jorge Martin Ceron, 2016. "Removing Moral Hazard and Agency Costs in Banks: Beyond CoCo Bonds," Birkbeck Working Papers in Economics and Finance 1603, Birkbeck, Department of Economics, Mathematics & Statistics.
    6. David Goldreich & Bernd Hanke & Purnendu Nath, 2005. "The Price of Future Liquidity: Time-Varying Liquidity in the U.S. Treasury Market," Review of Finance, Springer, vol. 9(1), pages 1-32, March.
    7. Rainer Jankowitsch & Michaela Nettekoven, 2008. "Trading strategies based on term structure model residuals," The European Journal of Finance, Taylor & Francis Journals, vol. 14(4), pages 281-298.
    8. R. Jankowitsch & H. Mosenbacher & S. Pichler, 2006. "Measuring the liquidity impact on EMU government bond prices," The European Journal of Finance, Taylor & Francis Journals, vol. 12(2), pages 153-169.

  12. Elroy Dimson & Stefan Nagel & Garrett Quigley, 2003. "Capturing the Value Premium in the United Kingdom," Financial Analysts Journal, Taylor & Francis Journals, vol. 59(6), pages 35-45, November.

    Cited by:

    1. Khasawneh, Maher & McMillan, David G. & Kambouroudis, Dimos, 2024. "Left-tail risk and UK stock return predictability: Underreaction, overreaction, and arbitrage difficulties," International Review of Financial Analysis, Elsevier, vol. 95(PA).

  13. Elroy Dimson & Paul Marsh & Mike Staunton, 2003. "Global Evidence On The Equity Risk Premium," Journal of Applied Corporate Finance, Morgan Stanley, vol. 15(4), pages 27-38, September.

    Cited by:

    1. Sandeep Kapur & Allan Timmermann, 2004. "Relative Performance Evaluation Contracts and Asset Market Equilibrium," Finance 0408001, University Library of Munich, Germany.
    2. Fernandez, Pablo & Aguirreamalloa, Javier & Liechtenstein, Heinrich, 2009. "The equity premium puzzle: High required equity premium, undervaluation and self fulfilling prophecy," IESE Research Papers D/821, IESE Business School.
    3. Wallmeier,, 2016. "Entwicklungslinien in der Portfoliotheorie und im Asset Management," Die Unternehmung - Swiss Journal of Business Research and Practice, Nomos Verlagsgesellschaft mbH & Co. KG, vol. 70(4), pages 407-422.
    4. Juan Pablo Domínguez H., 2007. "Cost of Equity Capital and Country Risk: An econometric analysis of the expected rate of return for four Latin American countries," Economía, Instituto de Investigaciones Económicas y Sociales (IIES). Facultad de Ciencias Económicas y Sociales. Universidad de Los Andes. Mérida, Venezuela, vol. 32(23), pages 63-90, january-j.
    5. Nils Hogh & Oliver Linton & Jens Nielsen, 2004. "The Froot and Stein Model Revisited," Finance 0401004, University Library of Munich, Germany.
    6. Jie Zhu, 2019. "Estimating The Equity Risk Premium: The Case Of Greater China," Bulletin of Monetary Economics and Banking, Bank Indonesia, vol. 22(2), pages 195-212, July.
    7. Georges Prat, 2010. "Equity Risk Premium and Time Horizon : What do the U.S. Secular Data Say ?," Working Papers hal-04140905, HAL.
    8. Tim Brailsford & John C. Handley & Krishnan Maheswaran, 2008. "Re‐examination of the historical equity risk premium in Australia," Accounting and Finance, Accounting and Finance Association of Australia and New Zealand, vol. 48(1), pages 73-97, March.
    9. Jamie Alcock & Anthony Hatherley, 2017. "Characterizing the Asymmetric Dependence Premium," Review of Finance, European Finance Association, vol. 21(4), pages 1701-1737.
    10. Othieno, Ferdinand & Biekpe, Nicholas, 2019. "Estimating the conditional equity risk premium in African frontier markets," Research in International Business and Finance, Elsevier, vol. 47(C), pages 538-551.
    11. Ben-Rephael, Azi & Kadan, Ohad & Wohl, Avi, 2008. "The diminishing liquidity premium," CFS Working Paper Series 2008/52, Center for Financial Studies (CFS).
    12. Hail, Luzi & Sikes, Stephanie & Wang, Clare, 2017. "Cross-country evidence on the relation between capital gains taxes, risk, and expected returns," Journal of Public Economics, Elsevier, vol. 151(C), pages 56-73.
    13. Andrew Vivian, 2005. "The Equity Premium: 101 years of Empirical Evidence from the UK," Money Macro and Finance (MMF) Research Group Conference 2005 92, Money Macro and Finance Research Group.
    14. Stephen, James D. & Mabee, Warren E. & Saddler, Jack N., 2013. "Lignocellulosic ethanol production from woody biomass: The impact of facility siting on competitiveness," Energy Policy, Elsevier, vol. 59(C), pages 329-340.
    15. Ian R. C. Hirst & Jo Danbolt & Eddie Jones, 2008. "Required Rates of Return for Corporate Investment Appraisal in the Presence of Growth Opportunities," European Financial Management, European Financial Management Association, vol. 14(5), pages 989-1006, November.
    16. Shackman, Joshua D., 2006. "The equity premium and market integration: Evidence from international data," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 16(2), pages 155-179, April.
    17. Jakusch, Sven Thorsten, 2017. "On the applicability of maximum likelihood methods: From experimental to financial data," SAFE Working Paper Series 148, Leibniz Institute for Financial Research SAFE, revised 2017.
    18. Georges Prat, 2010. "Equity Risk Premium and Time Horizon : What do the U.S. Secular Data Say ?," EconomiX Working Papers 2010-22, University of Paris Nanterre, EconomiX.
    19. Peter Dunn & Scott Francis & Jason Hall, 2009. "Leveraged superannuation," Accounting and Finance, Accounting and Finance Association of Australia and New Zealand, vol. 49(3), pages 505-529, September.
    20. Ouysse, Rachida & Kohn, Robert, 2010. "Bayesian variable selection and model averaging in the arbitrage pricing theory model," Computational Statistics & Data Analysis, Elsevier, vol. 54(12), pages 3249-3268, December.
    21. Tingsong Jiang & Warwick McKibbin, 2009. "What Does a Free Trade Area of the Asia-Pacific Mean to China?," Chapters, in: Chunlai Chen (ed.), China’s Integration with the Global Economy, chapter 5, Edward Elgar Publishing.
    22. Alain Abou & Georges Prat, 2009. "The dynamics of U.S. equity risk premia: lessons from professionals'view," Working Papers hal-04140869, HAL.
    23. Norman Hutchison & Patricia Fraser & Alastair Adair & Rahul Srivatsa, 2012. "Regime shifts in ex post UK commercial property risk premiums," Journal of Property Research, Taylor & Francis Journals, vol. 29(3), pages 247-269, April.
    24. Davoine, Thomas & Molnar, Matthias, 2020. "Cross-country fiscal policy spillovers and capital-skill complementarity in integrated capital markets," Economic Modelling, Elsevier, vol. 88(C), pages 132-150.
    25. Michael Brian Cohen, 2009. "Estimating the Equity Risk Premium for Economies in the Asian Region," Asian Journal of Finance & Accounting, Macrothink Institute, vol. 1(1), pages 2333-2333, December.
    26. Peng W. He & Andrew Grant & Joel Fabre, 2013. "Economic value of analyst recommendations in Australia: an application of the Black–Litterman asset allocation model," Accounting and Finance, Accounting and Finance Association of Australia and New Zealand, vol. 53(2), pages 441-470, June.
    27. Dou, Yue & Li, Yiying & Dong, Kangyin & Ren, Xiaohang, 2022. "Dynamic linkages between economic policy uncertainty and the carbon futures market: Does Covid-19 pandemic matter?," Resources Policy, Elsevier, vol. 75(C).
    28. Persakis, Anthony & Iatridis, George Emmanuel, 2015. "Cost of capital, audit and earnings quality under financial crisis: A global empirical investigation," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 38(C), pages 3-24.
    29. Claudio Loderer & John B. Long & Lukas Roth, 2010. "Implementing Fischer Black's Simple Discounting Rule," Journal of Applied Corporate Finance, Morgan Stanley, vol. 22(2), pages 60-68, April.
    30. Eichholtz, Piet & Lindenthal, Thies, 2014. "Demographics, human capital, and the demand for housing," Journal of Housing Economics, Elsevier, vol. 26(C), pages 19-32.
    31. Marco Kerste & Joost Poort & Nico Eijk, 2015. "Valuing commercial radio licences," European Journal of Law and Economics, Springer, vol. 39(2), pages 331-353, April.
    32. Georgia Pazarzi, 2014. "Comparison of the Residual Income and the Pricing - Multiples Equity Valuation Models," International Journal of Economics & Business Administration (IJEBA), International Journal of Economics & Business Administration (IJEBA), vol. 0(3), pages 88-114.
    33. Gabriel Frahm & Christoph Memmel, 2010. "Dominating Estimators for Minimum-Variance Portfolios," Post-Print hal-00741629, HAL.
    34. Ilyes Abid & Khaled Guesmi & Stéphane Goutte & Christian Urom & Julien Chevallier, 2019. "Commodities risk premia and regional integration in gas-exporting countries," Post-Print halshs-02148921, HAL.
    35. Salomons, Roelof & Sterken, Elmer, 2009. "Corporate control rights and the long-run equity risk premium," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 19(1), pages 63-76, February.
    36. Wickern, Tobias, 2011. "Confidence in prior knowledge: Calibration and impact on portfolio performance," Discussion Papers in Econometrics and Statistics 7/11, University of Cologne, Institute of Econometrics and Statistics.
    37. Aggarwal, Raj & Goodell, John W., 2008. "Equity premia in emerging markets: National characteristics as determinants," Journal of Multinational Financial Management, Elsevier, vol. 18(4), pages 389-404, October.
    38. Stephen Gray & Jason Hall & Drew Klease & Alan McCrystal, 2009. "Bias, stability, and predictive ability in the measurement of systematic risk," Accounting Research Journal, Emerald Group Publishing Limited, vol. 22(3), pages 220-236, November.
    39. Andrew Vivian, 2007. "The UK Equity Premium: 1901–2004," Journal of Business Finance & Accounting, Wiley Blackwell, vol. 34(9‐10), pages 1496-1527, November.
    40. John Donaldson & Rajnish Mehra, 2007. "Risk Based Explanations of the Equity Premium," NBER Working Papers 13220, National Bureau of Economic Research, Inc.
    41. Fernandez, Pablo, 2005. "La prima de riesgo del mercado (market risk premium)," IESE Research Papers D/585, IESE Business School.
    42. Rui Alpalhao & Paulo Alves, 2005. "The Portuguese equity risk premium: what we know and what we don't know," Applied Financial Economics, Taylor & Francis Journals, vol. 15(7), pages 489-498.
    43. Holger Daske & Günther Gebhardt, 2006. "Zukunftsorientierte Bestimmung von Risikoprämien und Eigenkapitalkosten für die Unternehmensbewertung," Schmalenbach Journal of Business Research, Springer, vol. 58(4), pages 530-551, June.
    44. Frahm, Gabriel, 2010. "An analytical investigation of estimators for expected asset returns from the perspective of optimal asset allocation," Discussion Papers in Econometrics and Statistics 1/10, University of Cologne, Institute of Econometrics and Statistics.
    45. Kryzanowski, Lawrence & Mohsni, Sana, 2010. "Capital returns, costs and EVA for Canadian firms," The North American Journal of Economics and Finance, Elsevier, vol. 21(3), pages 256-273, December.
    46. Chris Chan & Danny Forwood & Heather Roper & Chris Sayers, 2009. "Public Infrastructure Financing: An International Perspective," Staff Working Papers 0902, Productivity Commission, Government of Australia.

  14. Dimson, Elroy & Marsh, Paul, 2001. "U.K. Financial Market Returns, 1955-2000," The Journal of Business, University of Chicago Press, vol. 74(1), pages 1-31, January.

    Cited by:

    1. Fletcher, Jonathan, 2011. "Do optimal diversification strategies outperform the 1/N strategy in U.K. stock returns?," International Review of Financial Analysis, Elsevier, vol. 20(5), pages 375-385.
    2. Belter, Klaus & Engsted, Tom & Tanggaard, Carsten, 2003. "A New Daily Dividend-adjusted Index for the Danish Stock Market, 1985-2002: Construction, Statistical Properties, and Return Predictability," Finance Working Papers 03-1, University of Aarhus, Aarhus School of Business, Department of Business Studies.
    3. Fletcher, Jonathan, 2014. "Benchmark models of expected returns in U.K. portfolio performance: An empirical investigation," International Review of Economics & Finance, Elsevier, vol. 29(C), pages 30-46.
    4. Mateus, Irina B. & Mateus, Cesario & Todorovic, Natasa, 2016. "UK equity mutual fund alphas make a comeback," International Review of Financial Analysis, Elsevier, vol. 44(C), pages 98-110.
    5. J. Davies & Jonathan Fletcher & Andrew Marshall, 2015. "Testing index-based models in U.K. stock returns," Review of Quantitative Finance and Accounting, Springer, vol. 45(2), pages 337-362, August.
    6. Fletcher, Jonathan, 2018. "Betas V characteristics: Do stock characteristics enhance the investment opportunity set in U.K. stock returns?," The North American Journal of Economics and Finance, Elsevier, vol. 46(C), pages 114-129.
    7. Fletcher, Jonathan, 2018. "An empirical examination of the diversification benefits of U.K. international equity closed-end funds," International Review of Financial Analysis, Elsevier, vol. 55(C), pages 23-34.
    8. Fletcher, Jonathan & Basu, Devraj, 2016. "An examination of the benefits of dynamic trading strategies in U.K. closed-end funds," International Review of Financial Analysis, Elsevier, vol. 47(C), pages 109-118.
    9. Jonathan Fletcher, 2009. "Risk Reduction and Mean‐Variance Analysis: An Empirical Investigation," Journal of Business Finance & Accounting, Wiley Blackwell, vol. 36(7‐8), pages 951-971, September.
    10. Gelman, Sergey & Burhop, Carsten, 2008. "Taxation, regulation and the information efficiency of the Berlin stock exchange, 1892–1913," European Review of Economic History, Cambridge University Press, vol. 12(1), pages 39-66, April.

  15. E Dimson & P Marsh, 2001. "Index rebalancing and the technology bubble," Journal of Asset Management, Palgrave Macmillan, vol. 1(4), pages 311-320, April.

    Cited by:

    1. Paul Docherty & Howard Chan & Steve Easton, 2013. "Australian evidence on the implementation of the size and value premia," Accounting and Finance, Accounting and Finance Association of Australia and New Zealand, vol. 53(2), pages 367-391, June.

  16. Elroy Dimson & Carolina Minio‐Kozerski, 1999. "Closed‐End Funds: A Survey," Financial Markets, Institutions & Instruments, John Wiley & Sons, vol. 8(2), pages 1-41, May.

    Cited by:

    1. Lenkey, Stephen L., 2015. "The closed-end fund puzzle: Management fees and private information," Journal of Financial Intermediation, Elsevier, vol. 24(1), pages 112-129.
    2. Flynn, Sean M., 2005. "Noise-trading, Costly Arbitrage, and Asset Prices: Evidence from US Closed-end Funds," Vassar College Department of Economics Working Paper Series 71, Vassar College Department of Economics.
    3. Michael Bleaney & R. Todd Smith, 2011. "Excess Volatility and Closed-End Fund Discounts," Discussion Papers 11/05, University of Nottingham, School of Economics.
    4. Flynn, Sean M., 2005. "Sentiment and the Interpretation of News about Fundamentals," Vassar College Department of Economics Working Paper Series 72, Vassar College Department of Economics.
    5. Flynn, Sean Masaki, 2003. "Limited Arbitrage, Segmentation, and Investor Heterogeneity: Why the Law of One Price So Often Fails," Vassar College Department of Economics Working Paper Series 56, Vassar College Department of Economics.
    6. William M. Gentry & Charles M. Jones & Christopher J. Mayer, 2004. "Do Stock Prices Really Reflect Fundamental Values? The Case of REITs," NBER Working Papers 10850, National Bureau of Economic Research, Inc.
    7. Flynn, Sean Masaki, 2004. "Arbitrage in Closed-end Funds: New Evidence," Vassar College Department of Economics Working Paper Series 57, Vassar College Department of Economics.
    8. Wermers, Russ & Wu, Youchang & Zechner, Josef, 2006. "Portfolio performance, discount dynamics, and the turnover of closed-end fund managers," CFR Working Papers 06-12, University of Cologne, Centre for Financial Research (CFR).
    9. Michael Bleaney & R. Todd Smith, 2008. "Risk, Managerial Skill and Closed-End Fund Discounts," Discussion Papers 08/10, University of Nottingham, School of Economics.

  17. Dimson, Elroy & Mussavian, Massoud, 1999. "Three centuries of asset pricing," Journal of Banking & Finance, Elsevier, vol. 23(12), pages 1745-1769, December.

    Cited by:

    1. Topaloglou, Nikolas & Vladimirou, Hercules & Zenios, Stavros A., 2011. "Optimizing international portfolios with options and forwards," Journal of Banking & Finance, Elsevier, vol. 35(12), pages 3188-3201.
    2. Coleman, Les, 2014. "Why finance theory fails to survive contact with the real world: A fund manager perspective," CRITICAL PERSPECTIVES ON ACCOUNTING, Elsevier, vol. 25(3), pages 226-236.
    3. Lesław Markowski, 2019. "Stock market situation and relations between beta coefficients and returns determined by the CAPM on the example of companies from the ICT sector," Collegium of Economic Analysis Annals, Warsaw School of Economics, Collegium of Economic Analysis, issue 54, pages 393-408.
    4. Olkhov, Victor, 2022. "The Market-Based Asset Price Probability," MPRA Paper 115382, University Library of Munich, Germany, revised 16 Nov 2022.
    5. Tan, Pei P. & Galagedera, Don U.A. & Maharaj, Elizabeth A., 2012. "A wavelet based investigation of long memory in stock returns," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 391(7), pages 2330-2341.
    6. N. S. Nanayakkara & P. D. Nimal & Y. K. Weerakoon, 2019. "Behavioural Asset Pricing: A Review," International Journal of Economics and Financial Issues, Econjournals, vol. 9(4), pages 101-108.
    7. Paul Jansen & Willem Verschoor, 2004. "A note on transition stock return behaviour," Applied Economics Letters, Taylor & Francis Journals, vol. 11(1), pages 11-13.
    8. Victor Olkhov, 2022. "Why Economic Theories and Policies Fail? Unnoticed Variables and Overlooked Economics," Papers 2208.07839, arXiv.org.
    9. de Groot, Caspar G. M. & Verschoor, Willem F. C., 2002. "Further evidence on Asian stock return behavior," Emerging Markets Review, Elsevier, vol. 3(2), pages 179-193, June.
    10. Qianwei Ying & Tahir Yousaf & Qurat ul Ain & Yasmeen Akhtar & Muhammad Shahid Rasheed, 2019. "Stock Investment and Excess Returns: A Critical Review in the Light of the Efficient Market Hypothesis," JRFM, MDPI, vol. 12(2), pages 1-22, June.
    11. Louis, Rodolphe & Roncalli, Thierry, 2012. "On the market portfolio for multi-asset classes," MPRA Paper 39087, University Library of Munich, Germany.
    12. Hector O. Zapata & Supratik Mukhopadhyay, 2022. "A Bibliometric Analysis of Machine Learning Econometrics in Asset Pricing," JRFM, MDPI, vol. 15(11), pages 1-17, November.
    13. Jaramillo-López, Oscar Andrés & Forero-Laverde, Germán & Venegas-Martínez, Francisco, 2020. "Evolución del supuesto de normalidad en finanzas: un análisis epistemológico del tipo Popper-Kuhn ¿Por qué la normalidad no cae en desuso? [Evolution of the assumption of normality in finance: a ep," MPRA Paper 101938, University Library of Munich, Germany.
    14. Brown, Stephen J. & Lajbcygier, Paul & Wong, Woon Weng, 2012. "Estimating the cost of capital with basis assets," Journal of Banking & Finance, Elsevier, vol. 36(11), pages 3071-3079.
    15. Bhandari, Avishek, 2020. "Long memory and fractality among global equity markets: A multivariate wavelet approach," MPRA Paper 99653, University Library of Munich, Germany.

  18. Dimson, Elroy & Marsh, Paul, 1997. "Stress tests of capital requirements," Journal of Banking & Finance, Elsevier, vol. 21(11-12), pages 1515-1546, December.
    See citations under working paper version above.
  19. Dimson, Elroy & Marsh, Paul, 1995. "Capital Requirements for Securities Firms," Journal of Finance, American Finance Association, vol. 50(3), pages 821-851, July.

    Cited by:

    1. Jose A. Lopez, 1997. "Regulatory evaluation of value-at-risk models," Staff Reports 33, Federal Reserve Bank of New York.
    2. Jeremy Berkowitz & James M. O'Brien, 2001. "How accurate are Value-at-Risk models at commercial banks?," Finance and Economics Discussion Series 2001-31, Board of Governors of the Federal Reserve System (U.S.).
    3. Chevallier, Claire Océane & El Joueidi, Sarah, 2019. "Capital regulation and banking bubbles," Journal of Mathematical Economics, Elsevier, vol. 84(C), pages 117-129.
    4. Patricia Jackson & David Maude & William Perraudin, 1998. "Bank Capital and Value at Risk," Bank of England working papers 79, Bank of England.
    5. Arup Daripa & Simone Varotto, 2005. "Ex Ante Versus Ex Post Regulation of Bank Capital," Finance 0511009, University Library of Munich, Germany.
    6. Ahmet KARAKAŞ & Melek ACAR, 2022. "Determinants of liquidity in commercial banks: evidence from the Turkish banking sector," CES Working Papers, Centre for European Studies, Alexandru Ioan Cuza University, vol. 14(3), pages 236-268, December.
    7. Hentschel, Ludger & Smith, Clifford Jr., 1997. "Derivatives regulation: Implications for central banks," Journal of Monetary Economics, Elsevier, vol. 40(2), pages 305-346, October.
    8. George McKenzie & Simon Wolfe, 2004. "The impact of environmental risk on the UK banking sector," Applied Financial Economics, Taylor & Francis Journals, vol. 14(14), pages 1005-1016.
    9. Paul H. Kupiec & James M. O'Brien, 1997. "The pre-commitment approach: using incentives to set market risk capital requirements," Finance and Economics Discussion Series 1997-14, Board of Governors of the Federal Reserve System (U.S.).
    10. Dimson, Elroy & Marsh, Paul, 1997. "Stress tests of capital requirements," Journal of Banking & Finance, Elsevier, vol. 21(11-12), pages 1515-1546, December.
    11. Vlaar, Peter J. G., 2000. "Value at risk models for Dutch bond portfolios," Journal of Banking & Finance, Elsevier, vol. 24(7), pages 1131-1154, July.
    12. Andrew Kuritzkes & Til Schuermann & Scott M. Weiner, 2002. "Risk Measurement, Risk Management and Capital Adequacy in Financial Conglomerates," Center for Financial Institutions Working Papers 03-02, Wharton School Center for Financial Institutions, University of Pennsylvania.
    13. William Fallon, 1996. "Calculating Value-at-Risk," Center for Financial Institutions Working Papers 96-49, Wharton School Center for Financial Institutions, University of Pennsylvania.
    14. Paul H. Kupiec & A. Patricia White, 1996. "Regulatory competition and the efficiency of alternative derivative product margining systems," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 16(8), pages 943-968, December.
    15. Cabedo Semper, J. David & Moya Clemente, Ismael, 2003. "Value at risk calculation through ARCH factor methodology: Proposal and comparative analysis," European Journal of Operational Research, Elsevier, vol. 150(3), pages 516-528, November.
    16. Arupratan Daripa & Simone Varotto, 1997. "Agency Incentives and Reputational Distortions: a Comparison of the Effectiveness of Value-at-Risk and Pre-commitment in Regulating Market Risk," Bank of England working papers 69, Bank of England.
    17. Mondher Bellalah & Marc Lavielle, 2002. "A Decomposition of Empirical Distributions with Applications to the Valuation of Derivative Assets," Multinational Finance Journal, Multinational Finance Journal, vol. 6(2), pages 99-130, June.
    18. Coskun, Yener, 2010. "Aracı Kurumların Risk Haritası (Risk Maps of Securities Firms) [Risk Maps of Securities Firms]," MPRA Paper 28368, University Library of Munich, Germany.
    19. Glyn A. Holton, 2002. "History of Value-at-Risk: 1922-1998," Method and Hist of Econ Thought 0207001, University Library of Munich, Germany.
    20. Dangl, Thomas & Lehar, Alfred, 2004. "Value-at-risk vs. building block regulation in banking," Journal of Financial Intermediation, Elsevier, vol. 13(2), pages 96-131, April.
    21. Peter Christoffersen & Jinyong Hahn & Atsushi Inoue, 2001. "Testing and Comparing Value-at-Risk Measures," CIRANO Working Papers 2001s-03, CIRANO.
    22. Brooks, C. & Clare, A. D. & Persand, G., 2000. "A word of caution on calculating market-based minimum capital risk requirements," Journal of Banking & Finance, Elsevier, vol. 24(10), pages 1557-1574, October.

  20. Dimson, Elroy & Marsh, Paul, 1990. "Volatility forecasting without data-snooping," Journal of Banking & Finance, Elsevier, vol. 14(2-3), pages 399-421, August.

    Cited by:

    1. Brailsford, Timothy J. & Faff, Robert W., 1996. "An evaluation of volatility forecasting techniques," Journal of Banking & Finance, Elsevier, vol. 20(3), pages 419-438, April.
    2. Taufiq Choudhry & Hao Wu, 2008. "Forecasting ability of GARCH vs Kalman filter method: evidence from daily UK time-varying beta," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 27(8), pages 670-689.
    3. Manh Ha Nguyen & Olivier Darné, 2018. "Forecasting and risk management in the Vietnam Stock Exchange," Working Papers halshs-01679456, HAL.
    4. Lux, Thomas & Kaizoji, Taisei, 2006. "Forecasting volatility and volume in the Tokyo stock market: Long memory, fractality and regime switching," Economics Working Papers 2006-13, Christian-Albrechts-University of Kiel, Department of Economics.
    5. Angelovska, Julijana & Ivanovski, Zoran, 2018. "Accuracy In Risk Estimation Based On Simple Sma And Ewma Models:Evidence From Macedonian Stock Market," UTMS Journal of Economics, University of Tourism and Management, Skopje, Macedonia, vol. 9(1), pages 17-27.
    6. Twm Evans & David McMillan, 2007. "Volatility forecasts: the role of asymmetric and long-memory dynamics and regional evidence," Applied Financial Economics, Taylor & Francis Journals, vol. 17(17), pages 1421-1430.
    7. Nakovski, Dejan & Milenkovski, Ace & Gjorgievski, Mijalce, 2018. "Indicators For Defining The Emitting Areas In Tourism," UTMS Journal of Economics, University of Tourism and Management, Skopje, Macedonia, vol. 9(1), pages 39-48.
    8. David Walsh & Glenn Yu-Gen Tsou, 1998. "Forecasting index volatility: sampling interval and non-trading effects," Applied Financial Economics, Taylor & Francis Journals, vol. 8(5), pages 477-485.
    9. Torben G. Andersen & Tim Bollerslev, 1997. "Answering the Critics: Yes, ARCH Models Do Provide Good Volatility Forecasts," NBER Working Papers 6023, National Bureau of Economic Research, Inc.
    10. Lux, Thomas & Kaizoji, Taisei, 2004. "Forecasting volatility and volume in the Tokyo stock market: The advantage of long memory models," Economics Working Papers 2004-05, Christian-Albrechts-University of Kiel, Department of Economics.
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    1. V. M. González-Méndez & Francisco González-Rodríguez, 2000. "Procedimientos de resolución de insolvencia financiera en España: costes de insolvencia y transferencia de riqueza," Investigaciones Economicas, Fundación SEPI, vol. 24(2), pages 357-384, May.
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    24. Shaomeng Li & Guy S. Liu & Andros Gregoriou, 2021. "Do more mergers and acquisitions create value for shareholders?," Review of Quantitative Finance and Accounting, Springer, vol. 56(2), pages 755-787, February.
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    30. Igor Goncharov & Allan Hodgson & Suntharee Lhaopadchan & Sonia Sanabria, 2013. "Asymmetric trading by insiders – comparing abnormal returns and earnings prediction in Spain and Australia," Accounting and Finance, Accounting and Finance Association of Australia and New Zealand, vol. 53(1), pages 163-184, March.
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    38. Kamal, Md Rajib & Ahmed, Shaker & Hasan, Mostafa Monzur, 2023. "The impact of the Russia-Ukraine crisis on the stock market: Evidence from Australia," Pacific-Basin Finance Journal, Elsevier, vol. 79(C).
    39. Rao-Nicholson, Rekha & Salaber, Julie & Cao, Tuan Hiep, 2016. "Long-term performance of mergers and acquisitions in ASEAN countries," Research in International Business and Finance, Elsevier, vol. 36(C), pages 373-387.
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    48. Terry Shevlin & D. Shores, 1993. "Firm Size, Security Returns, and Unexpected Earnings: The Anomalous Signed†Size Effect," Contemporary Accounting Research, John Wiley & Sons, vol. 10(1), pages 1-30, September.
    49. Cristiana Cardi & Camilla Mazzoli & Sabrina Severini, 2019. "People have the power: post IPO effects of intellectual capital disclosure," Journal of Economics and Finance, Springer;Academy of Economics and Finance, vol. 43(2), pages 228-255, April.
    50. Dorsman, André & Gounopoulos, Dimitrios, 2013. "European Sovereign Debt Crisis and the performance of Dutch IPOs," International Review of Financial Analysis, Elsevier, vol. 30(C), pages 308-319.
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    52. Karpoff, Jonathan M & Lott, John R, Jr & Wehrly, Eric W, 2005. "The Reputational Penalties for Environmental Violations: Empirical Evidence," Journal of Law and Economics, University of Chicago Press, vol. 48(2), pages 653-675, October.
    53. Narendra Bhana, 2016. "The Stock Market Reaction to Board Changes: The South African Experience," Journal of Emerging Market Finance, Institute for Financial Management and Research, vol. 15(3), pages 269-294, December.
    54. Si Mohammed, Kamel & Khalfaoui, Rabeh & Doğan, Buhari & Sharma, Gagan Deep & Mentel, Urszula, 2023. "The reaction of the metal and gold resource planning in the post-COVID-19 era and Russia-Ukrainian conflict: Role of fossil fuel markets for portfolio hedging strategies," Resources Policy, Elsevier, vol. 83(C).
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    Cited by:

    1. Chen Su & Hanxiong Zhang & Nathan Lael Joseph, 2022. "The performance of UK stock recommendation revisions: Does brokerage house reputation matter?," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 27(3), pages 3051-3070, July.
    2. Pieper, Ute & Schiereck, Dirk & Weber, Martin, 1992. "Die Kaufempfehlungen des "Effecten-Spiegel": Eine empirische Untersuchung im Lichte der Effizienzthese des Kapitalmarktes," Manuskripte aus den Instituten für Betriebswirtschaftslehre der Universität Kiel 296, Christian-Albrechts-Universität zu Kiel, Institut für Betriebswirtschaftslehre.
    3. Spiwoks Markus, 2004. "Die Verwendbarkeit der ZEW-Aktienindex-Prognosen für aktive Portfoliomanagement-Strategien / The Usefulness of ZEW Stock Market Forecasts for Active Portfolio Management Strategies," Journal of Economics and Statistics (Jahrbuecher fuer Nationaloekonomie und Statistik), De Gruyter, vol. 224(5), pages 557-578, October.
    4. Brooks, Raymond M. & Kim, Hongshik, 1997. "The individual investor and the weekend effect: A reexamination with intraday data," The Quarterly Review of Economics and Finance, Elsevier, vol. 37(3), pages 725-737.
    5. Chen Su & Hanxiong Zhang & Robert S. Hudson, 2020. "The time‐varying performance of UK analyst recommendation revisions: Do market conditions matter?," Financial Markets, Institutions & Instruments, John Wiley & Sons, vol. 29(2), pages 65-89, May.
    6. Ryan, Paul & Taffler, Richard J., 2006. "Do brokerage houses add value? The market impact of UK sell-side analyst recommendation changes," The British Accounting Review, Elsevier, vol. 38(4), pages 371-386.
    7. Chen Su & Hanxiong Zhang & Kenbata Bangassa & Nathan Lael Joseph, 2019. "On the investment value of sell-side analyst recommendation revisions in the UK," Review of Quantitative Finance and Accounting, Springer, vol. 53(1), pages 257-293, July.

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    Cited by:

    1. Gregory Connor & Lisa R. Goldberg & Robert A. Korajczyk, 2010. "Portfolio Risk Analysis," Economics Books, Princeton University Press, edition 1, number 9224.
    2. Beer, Francisca Marie, 1997. "Estimation of risk on the Brussels Stock Exchange: Methodological issues and empirical results," Global Finance Journal, Elsevier, vol. 8(1), pages 83-94.

  25. Dimson, Elroy & Marsh, Paul R, 1984. "An Analysis of Brokers' and Analysts' Unpublished Forecasts of UK Stock Returns," Journal of Finance, American Finance Association, vol. 39(5), pages 1257-1292, December.

    Cited by:

    1. Raj Aggarwal & Dev Mishra & Craig Wilson, 2018. "Analyst recommendations and the implied cost of equity," Review of Quantitative Finance and Accounting, Springer, vol. 50(3), pages 717-743, April.
    2. Rojas-de-Gracia, María-Mercedes & Casado-Molina, Ana-María & Alarcón-Urbistondo, Pilar, 2021. "Relationship between reputational aspects of companies and their share price in the online environment," Technology in Society, Elsevier, vol. 64(C).
    3. Jeffrey Hobbs & Vivek Singh, 2015. "A comparison of buy‐side and sell‐side analysts," Review of Financial Economics, John Wiley & Sons, vol. 24(1), pages 42-51, January.
    4. Graham, John R. & Harvey, Campbell R., 1996. "Market timing ability and volatility implied in investment newsletters' asset allocation recommendations," Journal of Financial Economics, Elsevier, vol. 42(3), pages 397-421, November.
    5. Tomasz Potocki & Tomasz Świst, 2009. "The Strong Informative Efficiency of The Stock-Exchange in Warsaw-the Myth and the Reality," Ekonomia journal, Faculty of Economic Sciences, University of Warsaw, vol. 23.
    6. Pieper, Ute & Schiereck, Dirk & Weber, Martin, 1992. "Die Kaufempfehlungen des "Effecten-Spiegel": Eine empirische Untersuchung im Lichte der Effizienzthese des Kapitalmarktes," Manuskripte aus den Instituten für Betriebswirtschaftslehre der Universität Kiel 296, Christian-Albrechts-Universität zu Kiel, Institut für Betriebswirtschaftslehre.
    7. Barber, Brad & Lehavy, Reuven & Trueman, Brett & McNichols, Maureen, 2001. "Prophets and Losses: Reassessing the Returns to Analysts' Stock Recommendations," Research Papers 1692, Stanford University, Graduate School of Business.
    8. Fernando Rubio, 2005. "Eficiencia De Mercado, Administracion De Carteras De Fondos Y Behavioural Finance," Finance 0503028, University Library of Munich, Germany, revised 23 Jul 2005.
    9. Sorescu, Sorin & Subrahmanyam, Avanidhar, 2004. "The Cross-Section of Analyst Recommendations," University of California at Los Angeles, Anderson Graduate School of Management qt76x8k0cc, Anderson Graduate School of Management, UCLA.
    10. Eugene Soon Lee Kang & Shun Yin Lam, 2017. "Contingent effects of firm and employee reputations on professional advice adoption," Service Business, Springer;Pan-Pacific Business Association, vol. 11(2), pages 345-373, June.
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  28. David Chambers & Elroy Dimson & Christophe Spaenjers, 0. "Art as an Asset: Evidence from Keynes the Collector," The Review of Asset Pricing Studies, Society for Financial Studies, vol. 10(3), pages 490-520.
    See citations under working paper version above.

Chapters

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Books

  1. Acharya, Shanta & Dimson, Elroy, 2007. "Endowment Asset Management: Investment Strategies in Oxford and Cambridge," OUP Catalogue, Oxford University Press, number 9780199210916.

    Cited by:

    1. David Chambers & Elroy Dimson, 2013. "Retrospectives: John Maynard Keynes, Investment Innovator," Journal of Economic Perspectives, American Economic Association, vol. 27(3), pages 213-228, Summer.
    2. Francesco Pattarin, 2018. "Spending Policies of Italian Banking Foundations," Centro Studi di Banca e Finanza (CEFIN) (Center for Studies in Banking and Finance) 0071, Universita di Modena e Reggio Emilia, Dipartimento di Economia "Marco Biagi".
    3. Paul Cox & Patricia Wicks, 2011. "Institutional Interest in Corporate Responsibility: Portfolio Evidence and Ethical Explanation," Journal of Business Ethics, Springer, vol. 103(1), pages 143-165, September.

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