The long-run equity risk premium

Published

Journal Article

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. © 2005 Elsevier Inc. All rights reserved.

Full Text

Duke Authors

Cited Authors

  • Graham, JR; Harvey, CR

Published Date

  • December 1, 2005

Published In

Volume / Issue

  • 2 / 4

Start / End Page

  • 185 - 194

International Standard Serial Number (ISSN)

  • 1544-6123

Digital Object Identifier (DOI)

  • 10.1016/j.frl.2005.08.003

Citation Source

  • Scopus