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Posted by raylopez99 on January 6, 2007, 11:59 am
Update to the update: apparently, rereading the paper, Dimson, Marsh
and Staunton refer to chap 16 of the Goetmann et al article (by Jorion
and Goetzmann) and claim the J&G article is biased too low since it
excludes foreign stock market dividends. If true, then I guess Dimson
et al are right after all.
RL
raylopez99 wrote:
> Update: This paper by Dimson, Marsh and Staunton is informative but a
> bit too optimistic about worldwide equity returns over the last 100
> years.
>
> For example, Table I of Dimson is grossly in error, according to the
> data in the Goetzmann and Ibbotson book, chapter 16, "Global Stock
> Markets in the 20th Century". The real equity returns in the Dimson
> paper are wildly biased upwards (every single country shows upwards
> bias from what's reported in Goetzmann et al). For example, Belgium
> had a -0.26%/yr return says Geotzmann from 1921 to 1996 while Dimson
> reports 2.4%/yr. The years are a bit off (1921 to 1996 for the former
> and '1900' to 2005 for the latter--and every single country has a
> '1900' value, when Goetzmann specifically says finding good data that
> far back in every country is a problem) but if anything World War I
> should have hurt Belgium even more, and I can't imagine the years
> 1995-2005 were boom years to the point that it would affect the
> averages this much. Similarly South Africa had a -1.8%/yr return
> (real) says Goetzmann et al while Dimson et al report 7.25%/yr.
>
> RL
>
>
> David Moore wrote:
> > A free, recent, and very informative article on the equity premium is
> > Dimson, Marsh, and Staunton, "The worldwide equity premium: a smaller
> > puzzle" at http://papers.ssrn.com/sol3/papers.cfm?abstract_id=891620.
> >
> > You did read the definitive book by the same authors, Triumph of the
> > Optimists: 101 Years of Global Investment Returns" Princeton U Press,
> > 2002, right?
> >
> > David
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