The Equity Risk Premium in June 2005: Evidence from the Global CFO Outlook Survey
John R. Graham
Duke University; National Bureau of Economic Research (NBER)
Campbell R. Harvey
Duke University - Fuqua School of Business; National Bureau of Economic Research (NBER); Duke Innovation & Entrepreneurship Initiative
June 14, 2005
Based on a multi-year survey of U.S. Chief Financial Officers (CFOs), we present expectations of the risk premium measured over a 10-year horizon relative to a 10-year U.S. Treasury bond. Our survey also provides measures of the disagreement over the risk premium. We also provide a measure of individual uncertainty in that we ask for each respondent's 80% confidence interval for their risk premium assessment. We combine the June 2005 survey data with 20 historical quarterly surveys that date back to June 2000. We also collect demographic information about our survey participants. Finally, we present the results of other questions on the survey in June 2005 which include assessments of both economy-wide and firm optimism.
Number of Pages in PDF File: 44
Keywords: Cost of capital, equity premium, hurdle rate, long-term market returns, long-term equity returns, expected excess returns, disagreement, individual uncertainty, skewness, asymmetry, survey methods, risk and reward
JEL Classification: G11, G31, G12, G14
Date posted: June 15, 2005
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