Ex-ante risk premia in the US stock market: analysing experts' behaviour at the individual level
Semi-annual surveys carried out by J. Livingston on a panel of experts has enabled us to compute the expected returns on a portfolio made up of US industrial stocks. Having calculated the difference between these expected returns and the risk free rate given by zero coupon bonds, we generated about 3000 individual ex-ante risk premia over the 41-year period between 1952 and 1993. Three main conclusions may be drawn from our study. First, these ex-ante premia have mean values that seem closer to the predictions derived from the consumption-based asset pricing theory than the ones obtained for the ex-post premia. Second, the experts' professional affiliation appears to be a significant criterion in discriminating premia. Third, in accordance with the Arbitrage Pricing Theory, ex-ante premia depend on common factors bound up with macroeconomic variables and agents' individual forecasts for inflation and industrial production growth.
|Date of creation:||1986|
|Date of revision:|
|Publication status:||Published in Article actuellement en seconde lecture dans une revue anglaise. 1986|
|Note:||View the original document on HAL open archive server: https://halshs.archives-ouvertes.fr/halshs-00172883|
|Contact details of provider:|| Web page: https://hal.archives-ouvertes.fr/|
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- Lucas, Robert E, Jr, 1978. "Asset Prices in an Exchange Economy," Econometrica, Econometric Society, vol. 46(6), pages 1429-45, November.
- Pok-sang Lam & Stephen G. Cecchetti & Nelson C. Mark, 2000.
"Asset Pricing with Distorted Beliefs: Are Equity Returns Too Good to Be True?,"
American Economic Review,
American Economic Association, vol. 90(4), pages 787-805, September.
- Stephen G. Cecchetti & Pok-sang Lam & Nelson C. Mark, 1998. "Asset Pricing with Distorted Beliefs: Are Equity Returns Too Good To Be True?," NBER Working Papers 6354, National Bureau of Economic Research, Inc.
- De Santis, Giorgio & Gerard, Bruno, 1997. " International Asset Pricing and Portfolio Diversification with Time-Varying Risk," Journal of Finance, American Finance Association, vol. 52(5), pages 1881-1912, December.
- Eugene F. Fama & Kenneth R. French, 2002.
"The Equity Premium,"
Journal of Finance,
American Finance Association, vol. 57(2), pages 637-659, 04.
- Kocherlakota, N., 1995.
"The Equity Premium: It's Still a Puzzle,"
95-05, University of Iowa, Department of Economics.
- Narayana R. Kocherlakota, 1995. "The equity premium: it's still a puzzle," Discussion Paper / Institute for Empirical Macroeconomics 102, Federal Reserve Bank of Minneapolis.
- French, Kenneth R. & Schwert, G. William & Stambaugh, Robert F., 1987. "Expected stock returns and volatility," Journal of Financial Economics, Elsevier, vol. 19(1), pages 3-29, September.
- R. Mehra & E. Prescott, 2010.
"The equity premium: a puzzle,"
Levine's Working Paper Archive
1401, David K. Levine.
- Georges Prat, 1996. "Le modèle d'évaluation des actions confronté aux anticipations des agents informés," Revue Économique, Programme National Persée, vol. 47(1), pages 85-110.
- Cheolbeom Park, 2003. "Rational Beliefs or Distorted Beliefs: Equity Premium Puzzle and Micro Survey Data," Departmental Working Papers wp0303, National University of Singapore, Department of Economics.
- Cheolbeom Park, 2006. "Rational Beliefs or Distorted Beliefs: The Equity Premium Puzzle and Micro Survey Data," Southern Economic Journal, Southern Economic Association, vol. 72(3), pages 677-689, January.
- Nicholas Barberis, 2000. "Investing for the Long Run when Returns Are Predictable," Journal of Finance, American Finance Association, vol. 55(1), pages 225-264, 02.
- Dean Croushore, 1997. "The Livingston Survey: still useful after all these years," Business Review, Federal Reserve Bank of Philadelphia, issue Mar, pages 15-27.
- Roll, Richard & Ross, Stephen A, 1980. " An Empirical Investigation of the Arbitrage Pricing Theory," Journal of Finance, American Finance Association, vol. 35(5), pages 1073-1103, December.
- Shlomo Benartzi & Richard H. Thaler, 1995. "Myopic Loss Aversion and the Equity Premium Puzzle," The Quarterly Journal of Economics, Oxford University Press, vol. 110(1), pages 73-92.
- John Y. Campbell & John Cochrane, 1999. "Force of Habit: A Consumption-Based Explanation of Aggregate Stock Market Behavior," Journal of Political Economy, University of Chicago Press, vol. 107(2), pages 205-251, April.
When requesting a correction, please mention this item's handle: RePEc:hal:journl:halshs-00172883. See general information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (CCSD)
If references are entirely missing, you can add them using this form.