The Equity Risk Premium in June 2005: Evidence from the Global CFO Outlook Survey

44 Pages Posted: 15 Jun 2005  

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

Date Written: June 14, 2005

Abstract

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.

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

Suggested Citation

Graham, John R. and Harvey, Campbell R., The Equity Risk Premium in June 2005: Evidence from the Global CFO Outlook Survey (June 14, 2005). Available at SSRN: https://ssrn.com/abstract=743129 or http://dx.doi.org/10.2139/ssrn.743129

John Robert Graham

Duke University ( email )

Box 90120
Durham, NC 27708-0120
United States
919-660-7857 (Phone)
919-660-8030 (Fax)

National Bureau of Economic Research (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

Duke Innovation & Entrepreneurship Initiative ( email )

215 Morris St., Suite 300
Durham, NC 27701
United States

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