Abstract

http://ssrn.com/abstract=1162809
 
 

References (24)



 
 

Citations (25)



 


 



The Equity Risk Premium in 2008: Evidence from the Global CFO Outlook Survey


John R. Graham


Duke University; NBER

Campbell R. Harvey


Duke University - Fuqua School of Business; National Bureau of Economic Research (NBER)

July 22, 2008


Abstract:     
We analyze the results of a recent survey of U.S. Chief Financial Officers (CFOs) conducted in 2008. We present 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 March 2008. 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. Using our time series of risk premia, we explore the link between these premia and real interest rates implied in Treasury Inflation Indexed Notes, stock market volatility represented by the VIX index, past stock market returns and equity valuation reflected in price to earnings ratios.

Number of Pages in PDF File: 20

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

JEL Classification: G11, G31, G12, G14

working papers series


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Date posted: July 19, 2008 ; Last revised: July 25, 2008

Suggested Citation

Graham, John R. and Harvey, Campbell R., The Equity Risk Premium in 2008: Evidence from the Global CFO Outlook Survey (July 22, 2008). Available at SSRN: http://ssrn.com/abstract=1162809 or http://dx.doi.org/10.2139/ssrn.1162809

Contact Information

John Robert Graham
Duke University ( email )
Box 90120
Durham, NC 27708-0120
United States
919-660-7857 (Phone)
919-660-8030 (Fax)
NBER
1050 Massachusetts Avenue
Cambridge, MA 02138
United States
Campbell R. Harvey (Contact Author)
Duke University - Fuqua School of Business ( email )
Box 90120
Durham, NC 27708-0120
United States
919-660-7768 (Phone)
919-660-8030 (Fax)
National Bureau of Economic Research (NBER)
1050 Massachusetts Avenue
Cambridge, MA 02138
United States
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