When shares are traded infrequently, beta estimates are often severely biased. This paper
reviews the problems introduced by infrequent trading, and presents a method for measuring …

Responsible investors require data to underpin their stock and sector selections. Regardless
of the rating agency, bond ratings for a particular issuer are broadly similar. This is not the …

Every finance professional employs the concept of market efficiency. The theory, evidence
and counter‐evidence focus on a couple of dozen highly influential articles published during …

We analyze an extensive proprietary database of corporate social responsibility engagements
with US public companies from 1999–2009. Engagements address environmental, social, …

We use a new database of long-run stock, bond, bill, inflation, and currency returns to
estimate the equity risk premium for 17 countries and a world index over a 106-year interval. …

Many researchers have uncovered empirical regularities in stock market returns. If these
regularities persist, investors can expect to achieve superior performance. Unfortunately, nature …

We update our global evidence on the long-term realized equity risk premium, relative to both
bills and bonds, in 19 different countries. Our study now runs from 1900 to the start of 2011…

Investors have too often extrapolated from recent experience. In the 1950s, who but the most
rampant optimist would have dreamt that over the next fifty years the real return on equities …

We present and analyze new monthly index series for UK financial assets, covering equities,
bonds, bills, and inflation. The data are consistent with the CRSP/Ibbotson series for the …

Using historical price records for Bordeaux Premiers Crus, we examine the impact of aging
on wine prices and the long-term investment performance of fine wine. In line with the …