Asset Class Reader: U.S. Stocks

Asset Class Reader: U.S. Stocks


The following papers document the historical returns of U.S. stocks:

A new historical database for the NYSE 1815 to 1925: Performance and predictability: William N. Goetzmann, Roger G. Ibbotson, Liang Peng

Long-Run Stock Returns: Participating in the Real Economy: Roger G. Ibbotson and Peng Chen

The following papers deal with the equity premium for U.S Stocks:

History and the Equity Risk Premium : William N. Goetzmann and Roger G. Ibbotson

What Risk Premium is 'Normal'?: Arnott, Robert D. and Bernstein, Peter L.

The Equity Premium: Fama, Eugene F. and French, Kenneth R.

The Worldwide Equity Premium: A Smaller Puzzle: Dimson, Elroy, Marsh, Paul and Staunton, Mike

Long-Run Stock Returns: Participating in the Real Economy: Roger G. Ibbotson and Peng Chen

The following papers deal with the value and size premiums for U.S Stocks:

Characteristics, Covariances, and Average Returns: 1929-1997: Davis, James L., Fama, Eugene F. and French, Kenneth R.

The Value Premium and the CAPM: Fama, Eugene F. and French, Kenneth R.

The Anatomy of Value and Growth Stock Returns: Fama, Eugene F. and French, Kenneth R

Migration: Fama, Eugene F. and French, Kenneth R.

Factor Rotation: Bernstein, William