C-CAPM without Ex Post Data
AbstractSurvey 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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Bibliographic InfoPaper provided by Institute for Financial Research in its series SIFR Research Report Series with number 39.
Length: 16 pages
Date of creation: 15 Dec 2005
Date of revision:
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More information through EDIRC
Equity premium puzzle; Livingston survey; CBOE VIX; Survey of professional forecasters;
Other versions of this item:
- Söderlind, Paul, 2005. "C-CAPM Without Ex Post Data," CEPR Discussion Papers 5407, C.E.P.R. Discussion Papers.
- Paul Söderlind, 2006. "C-CAPM without Ex Post Data," University of St. Gallen Department of Economics working paper series 2006 2006-22, Department of Economics, University of St. Gallen.
- 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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