Elroy Dimson

Emeritus Professor of Finance

BA (Newcastle) MCom (Birmingham) PhD (London) FSIP (Hon) FIA (Hon)

Professor Elroy Dimson chairs the Centre for Endowment Asset Management at Cambridge Judge Business School, and is Emeritus Professor of Finance at London Business School.

His research focuses on responsible investment and long-horizon investing, and he and his co-authors have become well known for their studies of the investment performance since 1900 of financial assets in 23 countries and real assets such as wine, stamps, art and collectibles.

His publications, with several colleagues, on financial market history, endowment asset management, and responsible investing have been recognised by several awards.

Books include Global Investment Returns Yearbook 2020 (with Paul Marsh and Mike Staunton), Financial Market History (with David Chambers), Endowment Asset Management (with Shanta Acharya), and Triumph of the Optimists (with Paul Marsh and Mike Staunton). Publications since 2015 on active ownership (Review of Financial Studies), real assets (Journal of Financial Economics), financial history (Journal of Financial and Quantitative Analysis), investing in art (Review of Asset Pricing Studies), endowment strategy (Financial Analysts Journal), and factor investing and ESG investing (both Journal of Portfolio Management). Case studies on fossil fuel divestment (Journal of Investing) and on manager selection, real estate, and stocks for the long run (all Harvard Business School).

Dr Dimson chairs the Advisory and Policy Boards of FTSE Russell, and serves on the Advisory Council of Financial Analysts Journal, and the Supervisory Council of the Geneva Finance Research Institute. Until 2016 he chaired the Strategy Council of the Norwegian Government Pension Fund Global, and before going to Cambridge was a Professor and Governor at London Business School.

He is a Fellow or Honorary Fellow of CFA UK, the Institute of Actuaries, the Royal Historical Society, the Risk Institute at Ohio State University, and Gonville & Caius College, Cambridge. His PhD is from London Business School.

Research Awards

The Vice-Chancellor’s Impact Award, Cambridge; Savvy Investor Best Asset Allocation Paper ‒ Highly Commended for Global Investment Returns Yearbook; The Sandra Dawson Research Impact Award, 2017
Award from FIR-PRI for Best Published Paper on Sustainability; Fellow of The Risk Institute at the Fisher College of Business, OSU; Principles for Responsible Investing (PRI) Research Award, 2016
Graham and Dodd Best Perspectives Award from Financial Analysts Journal; Fellowship of the Royal Historical Society; IRRC Institute Prize, 2015
AIM Visiting Scholar, University of Texas at Austin, 2014

Bernstein Fabozzi/Jacobs Levy Outstanding Article Award for The Norway Model, 2013.

Best paper award from AAWE for The price of wine, 2013.
aCIO Top Ten Most Influential Academics in Institutional Investing; Bernstein Fabozzi/Jacobs Levy Outstanding Article Award for The Norway Model; Best paper award from AAWE for The price of wine, 2009-13.
Vertin Award from CFA Institute, 2012.
Emeritus Fellowship in Financial Market History from Leverhulme Foundation, 2010-12.
Fellowship of Judge Business School, 2009-13.
Forum pour l'Investissement Responsable Award, 2009.
Inquire Europe Award for research on Responsible Investing, 2008.
Coller Institute Research Award for study of IPOs, 2007.
Honorary Fellowship (FSIP) of the CFA Society of the UK, 2007.
Innovation in Learning Award from LBS, 2006.
Honorary Fellowship of Institute of Actuaries, 2002.
Distinguished Contribution Award from London Business School, 2001.

Prizes

Savvy Investor Best Investment Paper ‒ Top prize for Financial Market History, 2017
IRRC Institute Prize, Honorable Mention, University of Texas at Austin, 2014
Moskowitz Prize for best paper in 2012-13 for Active ownership
SSRN’s most downloaded Finance paper for Worldwide equity risk premium, 2007.
GSAM Prize finalist for The expected illiquidity premium, 2005.
Inquire Prize for High frequency monitoring, 2002.
Most Innovative Paper Medal from Inquire for A Century of Investment Returns, 2001.
Roger Murray Prize from Q-Group for The Millennium Book, 2000.
All Star Paper Award from JFE for Risk measurement and thin trading, 2002, 2008.

Investment management
Strategies for foundations and endowments
Sovereign wealth funds
Financial history

2022

The state of ESG investing: a portfolio management perspective

Horan S M; Dimson E; Emery C; Blay K; Yelton G

The Journal of Impact and ESG Investing 2022 Vol 2022:4 p 7-29

2021

American exceptionalism: the long-term evidence

Dimson E; Marsh P; Staunton M

Journal of Portfolio Management 2021 Vol 47:7 p 14-26

2020

Divergent ESG ratings

Dimson E; Marsh P; Staunton M

Journal of Portfolio Management 2020 Vol 47:1 p 75-87

2017

Factor-based investing : the long-term evidence

Dimson E; Marsh P; Staunton M

Journal of Portfolio Management 2017 Vol 43:5 p 15-37

2016

Credit Suisse global investment returns sourcebook

Dimson E; Marsh P; Staunton M

Credit Suisse Research Institute, 2016

Cycling for the good of your wealth

Dimson E; Marsh P; Staunton M

in Global investment returns yearbook, Credit Suisse Research Institute, 2016

Does hiking damage your wealth?

Dimson E; Marsh P; Staunton M

Global investment returns yearbook, Credit Suisse Research Institute, 2016

Long-term asset returns

Dimson E; Marsh P; Staunton M

Chapter 1, pp 2-27 in: Chambers D; Dimson E (eds). Financial Market History: reflections on the past for investors today. CFA Institute Foundation, 2016. ISBN 9781944960131

Numis smaller companies index: annual review

Dimson E; Marsh P

Numis Securities Ltd, 2016

Risk measurement service

Dimson E; Marsh P

London Business School, 2016

2015

Action to achieve inclusive capitalism

Dimson E; Marsh P; Staunton M

in Inclusive Capitalism: the pathway to action - thoughts from the 2015 Conference on Inclusive capitalism. Coalition for Inclusive Capitalism, London, pp. 77-78.

Active ownership

Dimson E; Karakas O; Li X

Review of Financial Studies 2015 Vol 28:12 p 3225-3268

British origins of the US endowment model

Chambers D; Dimson E

Financial Analysts Journal 2015 Vol 71:2 p 10-14

Commentary

Dimson E

in Carney D (ed), Inclusive Capitalism: the pathway to action - thoughts from the 2015 Conference on Inclusive capitalism, Coalition for Inclusive Capitalism, 2015

Credit Suisse global investment returns sourcebook

Dimson E; Marsh P; Staunton M

Credit Suisse Research Institute, 2015

How the Norway model evolved

Chambers D; Dimson E; Ilmanen A

Fabozzi FJ, Jacobs BI and Levy KN eds., The Bernstein Fabozzi/Jacobs Levy Awards: Five Years of Award-Winning Articles from the Journal of Portfolio Management, Volume 3 2008-2013, Institutional Investor Inc, 2014

Industries: their rise and fall

Dimson E; Marsh P; Staunton M

Global investment returns yearbook, Credit Suisse Research Institute, 2015

Investment performance of art and other collectibles

Dimson E; Spaenjers C

in Dempster A M (ed), Risk and uncertainty in the art world, Bloomsbury, 2014. pp 219-238

Keynes the stock market investor

Dimson E; Chambers D; Foo J

Journal of Financial and Quantitative Analysis 2015 Vol 50:4 p 843-868

Keynes, King's, and endowment asset management

Chambers D; Dimson E; Foo J

in Brown RJ and Hoxby C M eds: How the Financial Crisis and Great Recession Affected Higher Education, National Bureau of Economic Research, 2015. pp127-150

Numis smaller companies index: annual review

Dimson E; Marsh P

Numis Securities Ltd, 2015

Responsible investing: does it pay to be bad?

Dimson E; Marsh P; Staunton M

Global investment returns yearbook, Credit Suisse Research Institute, 2015

Risk measurement service

Dimson E; Marsh P

London Business School, 2015

The price of wine

Dimson E; Rousseau P L; Spaenjers C

Journal of Financial Economics 2015 Vol 118:2 p 431-449

2014

A framework for responsible investing

Dimson E

in Carney, D and Freeland, C eds., Making capitalism more inclusive: selected speeches and essays from participants at the 2014 Conference on Inclusive Capitalism, Coalition for Inclusive Capitalism, 2014

Credit Suisse global investment returns sourcebook

Dimson E; Marsh P; Staunton M

Credit Suisse Research Institute, 2014

Emerging markets revisited

Dimson E; Marsh P; Staunton M

Global investment returns yearbook, Credit Suisse Research Institute, 2014

Foreword

Dimson E

in Stanyer P, Guide to investment strategy 3rd ed, Economist, 2014

Growth puzzle

Dimson E; Marsh P; Staunton M

Global investment returns yearbook, Credit Suisse Research Institute, 2014

Investing in emotional assets

Dimson E; Spaenjers C

Financial Analysts Journal 2014 Vol 70:2 p 20-25

Numis smaller companies index: annual review

Dimson E; Marsh P

Numis Securities Ltd, 2014

Risk measurement service

Dimson E; Marsh P

London Business School, 2014

2013

John Maynard Keynes, investment innovator

Chambers D; Dimson E

Journal of Economic Perspectives 2013 Vol 27:3 p 213-228

2011

Ex post: The investment performance of collectible stamps

Dimson E

Journal of Financial Economics 2011

2010

Credit Suisse global investment returns sourcebook

Dimson E; Marsh P; Staunton M

Credit Suisse

DMS global investment returns data module

Dimson E; Marsh P; Staunton M

Morningstar

Hoare Govett smaller companies index

Dimson E; Marsh P

ABN AMRO

London share price database daily (1985-2009)

Dimson E; Marsh P; Smithers J; Staunton M

London Business School

London share price database monthly (1955-2009)

Dimson E; Marsh P; Smithers J; Staunton M

London Business School

Risk measurement service

Dimson E; Marsh P

London Business School

2009

IPO underpricing over the very long run

Chambers D; Dimson E

Journal of Finance 2009 Vol 64:3 p 1407-1443

2008

Worldwide equity premium: a smaller puzzle

Dimson E; Marsh P; Staunton M

in Mehra R ed., Handbook of the equity risk premium, Elsevier, 2008, p 467-514

2007

Decomposing the equity risk premium

Dimson E; Marsh P; Staunton M

Professional Investor 2007 Autumn p 12-15

2006

Long-run asset class returns

Dimson E

In Kurr V, Huwer K and Kehrbaum I Asset management: meet challengers, seize chances, PriceWaterhouseCoopers, 2006

Risk measurement service

Dimson E; Marsh P R

London Business School, 2006

2005

Coping with funding shortfalls

Dimson E; et al.

Pensions 2005 March p 17-19

Growing flush by flushing growth

Dimson E; Marsh P R; Staunton M

London Business School Alumni News 2005 Vol 104 p 20-21

Investing for the long term

Dimson E

Chapter 3 of Shaping the future of investment thinking (GAM 2005)

Where the long-run returns lie

Dimson E; Marsh P R; Staunton M

Investment & Pensions Europe 2005 Apr p 56-57

2004

Day in the life of an investment professional

Dimson E et al

International Journal of Financial Education 2004 October Vol 1:1

Expected illiquidity premium: evidence from equity index-linked bonds

Dimson E; Hanke B

Review of Finance 2004 Vol 8:1 p 19-47

Gary Steinberg's approach to investing

Dimson E; Acharaya S

Professional Investor 2004 October

Global investment returns yearbook 2004

Dimson E; Marsh P R; Staunton M

ABN-AMRO/London Business School, 2004

Hoare Govett smaller companies index 2004

Dimson E; Marsh P R

ABN-AMRO, 2004

Irrational optimism

Marsh P R; Dimson E; Staunton M

Financial Analysts Journal 2004 Jan/Feb Vol 60:1 p 15-25

Low-cap and lowly-rated: tiny and troubled in 20th century Europe

Marsh P R; Dimson E; Staunton M

Journal of Portfolio Management 2004 Vol 30:4 p 133-143

Perspective on long-term real estate returns: United States

Dimson E

Brandes Institute Journal, 1, p 72-89, 2004

Risk measurement service

Dimson E; Marsh P R

London Business School, 2004

Teaxching note for 'A day in the life of...'

Dimson E

International Journal of Financial Education 2004:1

Volatility forecasting without data-snooping

Dimson E; Marsh P R

in Batchelor R and Dua P eds., Financial forecasting, Edward Elgar/Elsevier, 2004

2003

Capturing the value premium in the UK

Dimson E; Nagel S; Quigley G

Financial Analysts Journal 2003 Vol 59:6 p 35-45

Global evidence on the equity risk premium

Dimson E; Marsh P R; Staunton M

Journal of Applied Corporate Finance 2003 Vol 15:4 p 27-38

New evidence puts risk premium in context

Marsh P R; Dimson E; Staunton M

Euromoney Corporate Finance 2003 Mar Vol 8:4 p 16-20

Risk measurement service

Dimson E; Marsh P R

London Business School, 2003

Triumph of the optimists: 101 years of global investment returns

Dimson E; Marsh P R; Staunton M

Toyo Kezai, 2003

2002

Risk measurement service

Dimson E; Marsh P R

London Business School, 2002

Seeking out investment value in styles

Dimson E; Nagel S

In Pickford J eds., Mastering investment, Pitman Publishing, 2002

2001

High frequency performance monitoring

Dimson E; Jackson A

Journal of Portfolio Management 2001 Vol 28:1 p 33-43

Index rebalancing and the technology bubble

Dimson E; Marsh P R

Journal of Asset Management 2001 Apr Vol 1:4 p 311-320

Review: Financial markets & corporate finance by MJ Brennan

Dimson E

Review of Financial Studies 2001 Vol 14:1 p 307-311

Risk and return in the 20th and 21st centuries

Dimson E; Marsh P R; Staunton M

Business Strategy Review 2001 Vol 11:2 p 1-18

Risk measurement service

Dimson E; Marsh P R

London Business School, 2001

UK financial market returns 1955-2000

Dimson E; Marsh P R

Journal of Business 2001 Vol 74:1 p 1-31

2000

Demise of size

Dimson E; Marsh P R

in Keim D B and Ziemba W eds., Security market imperfections in worldwide equity markets, p 116-143, Cambridge University Press, 2000

Market efficiency

Dimson E; Mussavian M

In Dahiya S B ed., The current state of business disciplines, Spellbound, 2000 Vol 3

Risk measurement service

Dimson E; Marsh P R

London Business School, 2000

1999

Closed-end funds: a survey

Dimson E; Minio-Kozerski C

Financial Markets, Institutions and Instruments 1999 Vol 9:3 p 1-41

Murphy's law and market anomalies

Dimson E; Marsh P R

Journal of Portfolio Management 1999 Winter Vol 25:2 p 53-69

Risk measurement service

Dimson E; Marsh P R

London Business School, 1999

Three centuries of asset pricing

Dimson E; Mussavian M

Journal of Banking and Finance 1999 Vol 23:12 p 1745-1769

1998

Brief history of market efficiency

Dimson E; Mussavian M

European Financial Management 1998 Vol 4:1 p 91-103

Capital budgeting: a beta way to do it

Dimson E

In Bickerstaffe G ed., Mastering finance, FT Pitman Publishing, 1998

Risk measurement service

Dimson E; Marsh P R

London Business School, 1998

1997

Assessing the rate of return

Dimson E

in Bickerstaffe G ed., Mastering management, FT Pitman Publishing, 1997

Capital asset pricing model

Dimson E

in Bickerstaffe G ed., Mastering management, FT Pitman Publishing, 1997

Risk measurement service

Dimson E; Marsh P R

London Business School, 1997

1996

Risk measurement service

Dimson E; Marsh P R

London Business School, 1996

1995

Capital requirements for securities firms

Dimson E; Marsh P R

Journal of Finance 1995 Vol 50:3 p 821-851

Hallgarten Wines

Dimson E

in Stonham P and Redhead K eds., Case book in European finance, Prentice-Hall, 1995

Johnson Fry

Dimson E

Management Case Quarterly 1995 Vol 1:4 p 15-23

Risk measurement service

Dimson E; Marsh P R; eds.

London Business School, 1995

1994

Appraisal of investment in infrastructure projects

Dimson E

in Proceedings of the 2nd FIMAG Convention, Institute of Actuaries, 1994

Debate on international capital requirements: evidence on equity position risk for UK securities firms

Dimson E; Marsh P R

Corporation of London, 1994

New plant and financial factors

Dimson E; Staunton M

in Review of the prospects for nuclear power vol. 4, Consortium of Opposing Local Authorities IV, 1994

Unhappy returns

Marsh P R; Dimson E

Financial Times 1994 Feb 9

1993

Hedging processors duality in currency exposure: discussion

Dimson E

Review of Futures Markets 1993 Vol 12:2 p 319-323

1992

Commentary on `Tests of options market efficiency: a study of the European options exchange' by H J Tan and J P Dickinson

Dimson E

Review of Futures Markets 1992 Vol 9:3 p 571-574

1990

1989

2014

Active Ownership

Dimson E; Karakas O; Li X

IFA Working Paper

2010

UK smaller companies index database

Dimson E; Marsh P

RBS

2007

Endowment asset management: investment strategies in Oxford and Cambridge

Dimson E; Acharya S

Oxford University Press, 2007

2006

Global investment returns yearbook 2006

Dimson E; Marsh P R; Staunton M

ABN-AMRO/London Business School, 2006

Hoare Govett smaller companies index 2006

Dimson E; Marsh P R

ABN-AMRO, 2006

2005

2004

Palestine and kosher wine - the story of Rachel Dimson: Adventurer, wine merchant and Zionist

Dimson E; Dimson D; Weil S

Frumkin Foundation, 2004

2003

2002

2001

Hoare Govett smaller companies index 2001

Dimson E; Marsh P R

ABN-AMRO, 2001

Millennium book II: 101 years of investment returns

Dimson E; Marsh P R; Staunton M

ABN-AMRO/London Business School, 2001

2000

Hoare Govett smaller companies index 2000

Dimson E; Marsh P R

ABN-AMRO, 2000

Millenium book: a century of investment returns

Dimson E; Marsh P R; Staunton M

ABN-AMRO/London Business School, 2000

1999

Esettanulmanyok a vallalati penzugyekhez

Marsh P R; Dimson E

Panem, 1999

Hoare Govett smaller companies index 1999

Dimson E; Marsh P R

ABN-AMRO, 1999

1998

Hoare Govett smaller companies index 1998

Dimson E; Marsh P R

ABN-AMRO, 1998

1997

Hoare Govett smaller companies index 1997

Dimson E; Marsh P R

1997

1996

Hoare Govett smaller companies index 1996

Dimson E; Marsh P R

ABN-AMRO, 1996

1995

1994

Hoare Govett smaller companies index 1994

Dimson E; Marsh P R

Hoare Govett Investment Research, 1994

Introduction to the HG 1000

Dimson E; Marsh P R

Hoare Govett Investment Research, 1994

1993

Hoare Govett smaller companies index 1993

Dimson E; Marsh P R

Hoare Govett Investment Research, 1993

1992

Hoare Govett smaller companies index 1992

Dimson E; Marsh P R

Hoare Govett Investment Research, 1992

1991

Hoare Govett smaller companies index 1991

Dimson E; Marsh P R

Hoare Govett Investment Research, 1991

1990

Hoare Govett smaller companies index 1990

Dimson E; Marsh P R

Hoare Govett Investment Research, 1990

1989

Instructors guide to cases in corporate finance

Dimson E; Marsh P R

Cases in corporate finance, 1989

1988

Cases in corporate finance

Dimson E; Marsh P R

Wiley, 1988

Teaching portfolio

Our teaching offering is updated annually. Faculty and programme material are subject to change.