Equity Risk Premium

eThe Equity Risk Premium in January 2007:
Evidence from the world(a) CFO Outlook Survey
John R. Graham

Fuqua School of Business, Duke University, Durham, NC 27708, USA

Campbell R. Harvey*

Fuqua School of Business, Duke University, Durham, NC 27708, USA
field Bureau of Economic Research, Cambridge, MA 02912, USA

ABSTRACT

We analyze the results of the most upstart fall over of U.S. Chief Financial Officers (CFOs) which looks ahead to the first
stern of 2007 and beyond. We manifest expectations of the equity risk premium measured over a 10-year horizon
relative to a 10-year U.S. Treasury bond. This multi-year survey has been conducted every quarter from June 2000 to
November 2006. Each quarter the survey also provides measures of cross-sectional variableness about the risk
premium, skewness, and a measure of individual irresolution. 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-term risk premium. Our analysis suggests there is a positive correlativity between the ex ante
risk premium and real cheer rates as reflected in Treasury Inflation Indexed Notes.



The level of the risk premium also
appears to track market volatility as reflected in the VIX index.

JEL Classification: G11, G31, G12, G14
Keywords: Cost of capital, equity premium, long-term market returns, long-term equity returns, expected excess returns, disagreement,
individual uncertainty, skewness, asymmetry, survey methods, risk and reward, TIPs, VIX

______________________________________________________________________________
*Corresponding author, Telephone: +1 919.660.7768, Fax: +1 919.660.8030, E-mail: cam.harvey@duke.edu.
We appreciate the comments of an anonymous referee. We appreciate the research supporter of Hai Huang and Runeet
Kishore. Version January 18, 2007. This is part of a series of papers that allow for be posted...If you want to get a full essay, gear up it on our website: Orderessay



If you want to get a full essay, wisit our page: write my essay .