Now a 67-year-old finance professor at Yale University, Ibbotson thinks he's discovered the answer.
"We get overloaded a bit in closely held companies, especially in Japan, " Ibbotson says.
Roger Ibbotson has devoted a career to answering a question that has defied the greatest minds of finance.
According to the Ibbotson SBBI 2011 Yearbook, long-term Treasuries have a correlation coefficient of 0.11 to large-cap stocks.
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Ibbotson doesn't think this one will be quickly arbitraged away, however, because of the unassailable barrier to big trades.
His theory has been sorely tested by the last decade, but Ibbotson still favors equities for the long haul.
According to Ibbotson, the compound annual returns for large-cap stocks and long-term government bonds have been 9.6% and 5.7%, respectively.
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Ibbotson later founded an eponymous financial research boutique famous for studies that showed how stocks outperform bonds over the long run.
Small-cap stocks, for instance, have a long-term correlation of 0.72 with large-cap stocks, according to the Ibbotson SBBI 2011 Classic Yearbook.
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Roger Ibbotson has one of the most famous names in finance, synonymous with the theory that stocks generate higher returns than bonds.
"We recognized something unnoticed was going on in the marketplace, " says Ibbotson.
Bond investors show a similar bias and willingly pay more for recently issued, or on-the-run, Treasurys than for less liquid, off-the-run bonds, Ibbotson says.
Each, Ibbotson believes, will continue to deliver strong profit growth and eventually attract large numbers of investors or a buyout bid at a nifty premium.
Since inflation averaged 3% historically from January 1, 1926 through December 31, 2010 (Source: Ibbotson), you would lose money on that investment in real terms.
According to the just-published Risk Premia Over Time Report from Ibbotson Associates, dividends accounted for 4.3% of the 10.4% annualized return for large-cap stocks from 1926 through 2003.
Ibbotson's Zebra Capital isn't a major market mover, yet it still can spend weeks trying to assemble a position in a stock that doesn't trade much.
It's a huge number, on the order of 5% a year, as calculated from the past 75 years of data by Ibbotson Associates, a research company.
According to a study by Ibbotson, a 65 year old investor in a Fidelity target fund would have had about 30% in equities in 2001.
Ibbotson has studied stock returns back to 1972 and says thinly traded stocks beat highly liquid ones of equal market values in all four quartiles ranked by size.
Gambera, the Ibbotson economist, is far more conservative than I.
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Ibbotson lends a bit of intellectual heft to his theorizing.
For example, from January 1, 1926-July 31, 2012, long-term government bonds returned 5.77% annualized compared to 5.36% for five-year US Treasury notes but the long-term bonds had nearly double the volatility (Source: Ibbotson and Sinquefield).
Ibbotson, who sold his eponymous firm to Morningstar in 2006, has done much research over the years into strange quirks of the market, such as the propensity of value stocks to return more than glamorous growth stocks.
Ibbotson tries to profit off the discount the market accords low-liquidity stocks by screening every six months or so for companies that have reported positive earnings over the previous year and that he expects to do so again.
To give two high-profile examples, Ibbotson and Associates and the academic duo of Eugene Fama and Kenneth French did similar studies that found that value stocks, as measured by low price-to-book ratios, outperform growth stocks over the long run.
Liquidity has improved, thanks to the widespread use of real-estate investment trusts (REITs). (The American-based National Association of Real Estate Investment Trusts commissioned the Ibbotson study.) But the global enthusiasm for REITs, together with the growing trend for property launches in the British mutual-fund sector, has a top-of-the-market feel.
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