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A Century of Global Stock Markets

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  • Philippe Jorion
  • William N. Goetzmann

Abstract

This paper was an accidental re-issue of w5901

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Bibliographic Info

Paper provided by National Bureau of Economic Research, Inc in its series NBER Working Papers with number 7565.

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Date of creation: Feb 2000
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Publication status: Published as "Global Stock Markets in the Twentieth Century", Journal of Finance, Vol. 54, no. 3 (June 1999): 953-980.
Handle: RePEc:nbr:nberwo:7565

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References

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  1. Philippe Jorion & William N. Goetzmann, 1998. "A Longer Look at Dividend Yields," Yale School of Management Working Papers ysm41, Yale School of Management.
  2. Goetzmann, William Nelson, 1993. "Patterns in Three Centuries of Stock Market Prices," The Journal of Business, University of Chicago Press, vol. 66(2), pages 249-70, April.
  3. William N. Goetzmann & Philippe Jorion, 1997. "Re-emerging Markets," NBER Working Papers 5906, National Bureau of Economic Research, Inc.
  4. Mehra, Rajnish & Prescott, Edward C., 1985. "The equity premium: A puzzle," Journal of Monetary Economics, Elsevier, vol. 15(2), pages 145-161, March.
  5. Epstein, Larry G & Zin, Stanley E, 1991. "Substitution, Risk Aversion, and the Temporal Behavior of Consumption and Asset Returns: An Empirical Analysis," Journal of Political Economy, University of Chicago Press, vol. 99(2), pages 263-86, April.
  6. Bansal, Ravi & Coleman, Wilbur John, II, 1996. "A Monetary Explanation of the Equity Premium, Term Premium, and Risk-Free Rate Puzzles," Journal of Political Economy, University of Chicago Press, vol. 104(6), pages 1135-71, December.
  7. Rietz, Thomas A., 1988. "The equity risk premium a solution," Journal of Monetary Economics, Elsevier, vol. 22(1), pages 117-131, July.
  8. Jobson, J D & Korkie, Bob M, 1981. "Performance Hypothesis Testing with the Sharpe and Treynor Measures," Journal of Finance, American Finance Association, vol. 36(4), pages 889-908, September.
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Cited by:
  1. Philippe Jorion & William N. Goetzmann, 1998. "Re-Emerging Markets," Yale School of Management Working Papers ysm111, Yale School of Management.
  2. Alier, Max & Vittas, Dimitri, 2000. "Personal pension plans and stock market volatility," Policy Research Working Paper Series 2463, The World Bank.
  3. Danthine, Jean-Pierre & Donaldson, John B & Siconolfi, Paolo, 2005. "Distribution Risk and Equity Returns," CEPR Discussion Papers 5425, C.E.P.R. Discussion Papers.
  4. Bodnar, Gordon & Dumas, Bernard & Marston, Richard, 2003. "Cross-Border Valuation: The International Cost of Equity Capital," Working Papers 03-3, University of Pennsylvania, Wharton School, Weiss Center.
  5. Costa, Jose Carlos & Mata, Maria Eugenia & Justino, David, 2009. "Portuguese Average Cost Of Capital," FEUNL Working Paper Series wp543, Universidade Nova de Lisboa, Faculdade de Economia.
  6. Blake, David & Cairns, Andrew J. G. & Dowd, Kevin, 2001. "Pensionmetrics: stochastic pension plan design and value-at-risk during the accumulation phase," Insurance: Mathematics and Economics, Elsevier, vol. 29(2), pages 187-215, October.

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