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C-CAPM without Ex Post Data

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Author Info
Söderlind, Paul () (University of St. Gallen)

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Abstract

Survey and option data are used to take a new look at the equity premium puzzle. Survey data on equity returns (Livingston survey) shows much lower expected excess returns than ex post data. At the same time, option data (CBOE's VIX) indicates that investors overestimate the volatility of equity returns. Both facts reduce the puzzle. However, data on beliefs about output volatility (Survey of Professional Forecasters) shows marked overconfidence. On balance, the equity premium is somewhat less of a puzzle than in ex post data.

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Publisher Info
Paper provided by Swedish Institute for Financial Research in its series SIFR Research Report Series with number 39.

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Length: 16 pages
Date of creation: 15 Dec 2005
Date of revision:
Handle: RePEc:hhs:sifrwp:0039

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Related research
Keywords: Equity premium puzzle Livingston survey CBOE VIX Survey of professional forecasters

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Find related papers by JEL classification:
E13 - Macroeconomics and Monetary Economics - - General Aggregative Models - - - Neoclassical
E32 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Business Fluctuations; Cycles
G12 - Financial Economics - - General Financial Markets - - - Asset Pricing

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    Other versions:
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