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Elroy Dimson

Emeritus Professor of Finance


BA (Newcastle), MCom (Birmingham), PhD (London)

Elroy Dimson is Emeritus Professor of Finance at London Business School. He chairs the Newton Centre for Endowment Asset Management at Cambridge Judge Business School, the Strategy Council for the Norwegian Government Pension Fund, and the Academic Advisory Board and Policy Committee for FTSE Group. He is a member of the Steering Committee of the Financial Economists’ Roundtable, the Working Group of the Coalition on Inclusive Capitalism, and the investment committees of Guy’s & St Thomas’ Charity and the Foundation for Social Entrepreneurs. Elroy serves on the Advisory Council of Financial Analysts Journal, and is an Honorary Fellow of CFA UK and of the Institute of Actuaries. 

In 2015, he was elected to Fellowship of the Royal Historical Society. Books include Triumph of the Optimists and the Global Investment Returns Yearbook (with Paul Marsh and Mike Staunton) and Endowment Asset Management (with Shanta Acharya). Recent papers on active ownership (Review of Financial Studies, 2015), real assets (Journal of Financial Economics, 2015), financial history (Journal of Financial and Quantitative Analysis, 2015), and endowment investing (Financial Analysts Journal, 2015). Recent cases include Clare College (Harvard Business School, 2015). He has won the James Vertin award, the Moskowitz prize, and the Bernstein Fabozzi/Jacobs Levy award. His PhD is from London Business School.

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

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

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

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, 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: Volume 3, Institutional Investor Inc, 2015

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 ed., Risk and uncertainty in the art world, Bloomsbury, 2015

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, NBER book How the Financial Crisis and Great Recession Affected Higher Education, 2015

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, 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

UK smaller companies index database

Dimson E; Marsh P

RBS

2009

IPO underpricing over the very long run

Chambers D; Dimson E

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

2008

Execution costs and market design worldwide

Dimson E; Harris F

Journal of Trading 2008 Vol 3:1 p 9-24

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

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

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

Global investment returns yearbook 2005

Dimson E; Marsh P R; Staunton M

ABN-AMRO/London Business School, 2005

Growing flush by flushing growth

Dimson E; Marsh P R; Staunton M

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

Hoare Govett smaller companies index 2005

Dimson E; Marsh P R

ABN-AMRO, 2005

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

World capital returns over the past 100 years

Marsh P R; Dimson E; Staunton M

State Council Office for Restructuring Economic Systems, Beijing, 2005

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

Closed-end fund discount

Dimson E; Minio-Paluello C

AIMR and Blackwells, 2003

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

Global investment returns yearbook 2003

Dimson E; Marsh P R; Staunton M

ABN-AMRO/London Business School, 2003

Hoare Govett smaller companies index 2003

Dimson E; Marsh P R

ABN-AMRO, 2003

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

Global investment returns yearbook 2002

Dimson E; Marsh P R; Staunton M

ABN-AMRO/London Business School, 2002

Hoare Govett smaller companies index 2002

Dimson E; Marsh P R

ABN-AMRO, 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

Triumph of the optimists: 101 years of global investment returns

Dimson E; Marsh P R; Staunton M

Princeton University Press, 2002

2001

High frequency performance monitoring

Dimson E; Jackson A

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

Hoare Govett smaller companies index 2001

Dimson E; Marsh P R

ABN-AMRO, 2001

Index rebalancing and the technology bubble

Dimson E; Marsh P R

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

Millennium book II: 101 years of investment returns

Dimson E; Marsh P R; Staunton M

ABN-AMRO/London Business School, 2001

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

Hoare Govett smaller companies index 2000

Dimson E; Marsh P R

ABN-AMRO, 2000

Market efficiency

Dimson E; Mussavian M

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

Millenium book: a century of investment returns

Dimson E; Marsh P R; Staunton M

ABN-AMRO/London Business School, 2000

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

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

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

Hoare Govett smaller companies index 1998

Dimson E; Marsh P R

ABN-AMRO, 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

Hoare Govett smaller companies index 1996

Dimson E; Marsh P R

ABN-AMRO, 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

Hoare Govett smaller companies index 1995

Dimson E; Marsh P R

ABN-AMRO, 1995

Johnson Fry

Dimson E

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

Nuclear review

Dimson E; et al.

University of Surrey, 1995

Nuclear review

Dimson E; Jeffrey R et al

University of Surrey, 1995

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

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

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

Hoare Govett smaller companies index 1993

Dimson E; Marsh P R

Hoare Govett Investment Research, 1993

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

Management in Northern California; a European perspective

Dimson E

London Business School 1990

SEAQ classification, market size and publication levels

Dimson E; Marsh P R

London Stock Exchange, 1990

Sizing up stock market indices

Dimson E; Marsh P R

Investing 1990 Vol 4:3 p 52-59

Smaller the better

Dimson E; Marsh P R

Hoare Govett Investment Research, 1990

Thinking small

Dimson E; Marsh P R

in Phillip A ed., Background to pension fund investment in the nineties, AP Information Services, 1990

Volatility forecasting without data-snooping

Dimson E; Marsh P R

Journal of Banking and Finance 1990 Jun Vol 14:2 p 399-421

1989

Assessment and a projection

Dimson E

in Puxty A G and Dodds J C eds., Financial management: method and measuring, Van Nostrand Reinhold, 1989

Discount rate for a power station

Dimson E

Energy Economics 1989 Vol 11:3 p 175-180

Instructors guide to cases in corporate finance

Dimson E; Marsh P R

Cases in corporate finance, 1989

Smaller companies puzzle

Dimson E; Marsh P R

Investment Analyst 1989 January Vol 91 p 16-24

1988

Cases in corporate finance

Dimson E; Marsh P R

Wiley, 1988

Research Awards


  • 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


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

  • Best paper award from AAWE for The price of wine, 2013.

  • 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.

Research Interests

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