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|
|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|
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