1. The long-run equity risk premium.
- Author
-
Graham, John R. and Harvey, Campbell R.
- Subjects
RATE of return ,PORTFOLIO management (Investments) ,FINANCIAL executives ,CORPORATE treasurers - Abstract
Abstract: Based on a survey of US Chief Financial Officers (CFOs), we present expectations of the equity risk premium measured over a 10-year horizon relative to a 10-year US Treasury bond. This multi-year survey has been conducted each quarter from June 2000 to June 2005. Each quarter the survey also provides measures of cross-sectional disagreement about the risk premium, skewness, and a measure of individual uncertainty. The individual uncertainty is deduced from the 80% confidence interval that each respondent provides for his or her risk premium assessment. We also present evidence on the determinants of the long-run risk premium. Our analysis suggests there is a positive correlation between the ex ante risk premium and real interest rates as reflected in Treasury Inflation Indexed Notes. [Copyright &y& Elsevier]
- Published
- 2005
- Full Text
- View/download PDF