Equity Risk Premium

eThe Equity Risk Premium in January 2007: Evidence from the world(a) chief financial officer Outlook Survey John R. Graham Fuqua School of Business, Duke University, Durham, NC 27708, ground forces 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 reflect all over of U.S. Chief Financial Officers (CFOs) which looks ahead to the first knockout of 2007 and beyond. We manifest expectations of the equity jeopardize premium standardd over a 10-year horizon relative to a 10-year U.S. Treasury bond. This multi-year appraise has been conducted every quarter from June 2000 to November 2006. Each quarter the mountain withal 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 i nterval that each respondent provides for his or her risk premium assessment. We as well as 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 order as reflected in Treasury Inflation Indexed Notes.

The level of the risk premium also appears to track marketplace 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, individua l uncertainty, skewness, asymmetry, survey m! ethods, 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 whiz of Hai Huang and Runeet Kishore. Version January 18, 2007. This is part of a series of papers that lease for be posted...If you want to get a full essay, accessory up it on our website: OrderCustomPaper.com

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