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The long-run equity risk premium

Publication ,  Journal Article
Graham, JR; Harvey, CR
Published in: Finance Research Letters
December 1, 2005

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.

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Published In

Finance Research Letters

DOI

ISSN

1544-6123

Publication Date

December 1, 2005

Volume

2

Issue

4

Start / End Page

185 / 194

Related Subject Headings

  • Finance
  • 1502 Banking, Finance and Investment
 

Citation

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Graham, J. R., & Harvey, C. R. (2005). The long-run equity risk premium. Finance Research Letters, 2(4), 185–194. https://doi.org/10.1016/j.frl.2005.08.003
Graham, J. R., and C. R. Harvey. “The long-run equity risk premium.” Finance Research Letters 2, no. 4 (December 1, 2005): 185–94. https://doi.org/10.1016/j.frl.2005.08.003.
Graham JR, Harvey CR. The long-run equity risk premium. Finance Research Letters. 2005 Dec 1;2(4):185–94.
Graham, J. R., and C. R. Harvey. “The long-run equity risk premium.” Finance Research Letters, vol. 2, no. 4, Dec. 2005, pp. 185–94. Scopus, doi:10.1016/j.frl.2005.08.003.
Graham JR, Harvey CR. The long-run equity risk premium. Finance Research Letters. 2005 Dec 1;2(4):185–194.
Journal cover image

Published In

Finance Research Letters

DOI

ISSN

1544-6123

Publication Date

December 1, 2005

Volume

2

Issue

4

Start / End Page

185 / 194

Related Subject Headings

  • Finance
  • 1502 Banking, Finance and Investment