Presentation is loading. Please wait.

Presentation is loading. Please wait.

The U.S. Risk Premium Campbell R. Harvey

Published byYohanes Setiawan Modified over 5 years ago

Similar presentations

Presentation on theme: "The U.S. Risk Premium Campbell R. Harvey"— Presentation transcript:

1 The U.S. Risk Premium Campbell R. Harvey
Duke University, Durham, NC USA National Bureau of Economic Research, Cambridge MA USA office || mobile

2 U.S. Risk Premium Survey Background
Graham/Harvey: Survey CFOs every quarter Q through Q (23 quarters) Current survey attracts about 400 respondents Why CFOs? We know from previous surveys and interviews that the CFOs use the risk premium for their capital budgeting Hence, they have thought hard about risk premium Should not be biased the way that analyst forecasts might be

3 U.S. Risk Premium Ten-Year Premium
Ten-year risk premium is stable. Currently, about 2.4%

4 U.S. Risk Premium Ten-Year Premium
Not related to PEs

5 U.S. Risk Premium Ten-Year Premium
Linked to real yields

6 U.S. Risk Premium Ten-Year Premium
Linked to VIX

7 U.S. Risk Premium Ten-Year Premium

8 U.S. Risk Premium One-Year Premium
One-year risk premium quite variable. Currently, about 1.75%

9 U.S. Risk Premium One-Year Return
One-year risk premium quite variable. Currently, about 5.5%

10 U.S. Risk Premium One-Year Return

11 U.S. Risk Premium Momentum in Expectations for 1-year Premium

12 U.S. Risk Premium Extreme Returns Cause Disagreement

13 U.S. Risk Premium Premium and Yield Curve

14 U.S. Risk Premium Premium and Quality Spread

15 U.S. Risk Premium Premium and ISM

16 U.S. Risk Premium Premium and ISM

17 U.S. Risk Premium Overconfidence

18 U.S. Risk Premium Overconfidence

19 U.S. Risk Premium Bias

20 U.S. Risk Premium Bias

21 U.S. Risk Premium Bias

Download ppt "The U.S. Risk Premium Campbell R. Harvey"

Similar presentations

1 Expectations of Equity Risk Premia, Volatility, and Asymmetry: From a Corporate Finance Perspective John R. Graham Duke University, Durham, NC USA

1 Expectations of Equity Risk Premia, Volatility, and Asymmetry: From a Corporate Finance Perspective John R. Graham Duke University, Durham, NC USA
Economy / Market Analysis

Economy / Market Analysis
Estimation Error and Portfolio Optimization Global Asset Allocation and Stock Selection Campbell R. Harvey Duke University, Durham, NC USA National Bureau.

Estimation Error and Portfolio Optimization Global Asset Allocation and Stock Selection Campbell R. Harvey Duke University, Durham, NC USA National Bureau.
Information in the term structure of variance swaps and CFO predictions of volatility Whit Graham, Josh Kaehler, Matt Seitz.

Information in the term structure of variance swaps and CFO predictions of volatility Whit Graham, Josh Kaehler, Matt Seitz.
8/28/2015 Tactical Asset Allocation 1 Tactical Asset Allocation session 5 Andrei Simonov.

8/28/2015 Tactical Asset Allocation 1 Tactical Asset Allocation session 5 Andrei Simonov.
Chapter 14: Monetary Policy  Objectives of U.S. monetary policy and the framework for setting and achieving them  Federal Reserve interest rate policy.

Chapter 14: Monetary Policy  Objectives of U.S. monetary policy and the framework for setting and achieving them  Federal Reserve interest rate policy.
The Performance of the Term Structure in Predicting the Recession of 2001 Campbell R. Harvey Duke University, Durham, NC USA National Bureau of Economic.

The Performance of the Term Structure in Predicting the Recession of 2001 Campbell R. Harvey Duke University, Durham, NC USA National Bureau of Economic.
Managing Higher Moments in Hedge Fund Allocation Campbell R. Harvey Duke University, Durham, NC USA National Bureau of Economic Research, Cambridge, MA.

Managing Higher Moments in Hedge Fund Allocation Campbell R. Harvey Duke University, Durham, NC USA National Bureau of Economic Research, Cambridge, MA.
1 The Economic Implications of Corporate Financial Reporting Campbell R. Harvey Duke University, Durham, NC USA National Bureau of Economic Research, Cambridge,

1 The Economic Implications of Corporate Financial Reporting Campbell R. Harvey Duke University, Durham, NC USA National Bureau of Economic Research, Cambridge,
1 Yield Curve Inversions and Future Economic Growth Campbell R. Harvey Duke University, Durham, NC USA National Bureau of Economic Research, Cambridge.

1 Yield Curve Inversions and Future Economic Growth Campbell R. Harvey Duke University, Durham, NC USA National Bureau of Economic Research, Cambridge.
Copyright 2001. Campbell R. Harvey. All Worldwide Rights Reserved. 1 The Financial and Economic Impact of September 11, 2001 Campbell R. Harvey Duke University,

Copyright Campbell R. Harvey. All Worldwide Rights Reserved. 1 The Financial and Economic Impact of September 11, 2001 Campbell R. Harvey Duke University,
GATE April 15, 2002 Economic, Financial and Political Risk in Portfolio and Direct Investment Campbell R. Harvey Duke University, Durham, NC National Bureau.

GATE April 15, 2002 Economic, Financial and Political Risk in Portfolio and Direct Investment Campbell R. Harvey Duke University, Durham, NC National Bureau.
Historical Perspective on International Equity Returns Campbell R. Harvey Duke University, Durham, NC USA National Bureau of Economic Research, Cambridge.

Historical Perspective on International Equity Returns Campbell R. Harvey Duke University, Durham, NC USA National Bureau of Economic Research, Cambridge.
Copyright 2001. John R. Graham and Campbell R. Harvey. 1 Expectations of Equity Risk Premia, Volatility, and Asymmetry: From a Corporate Finance Perspective.

Copyright John R. Graham and Campbell R. Harvey. 1 Expectations of Equity Risk Premia, Volatility, and Asymmetry: From a Corporate Finance Perspective.
1 Survey and Field Research in Finance: Miscalibration and Corporate Actions Campbell R. Harvey Duke University, Durham, NC USA National Bureau of Economic.

1 Survey and Field Research in Finance: Miscalibration and Corporate Actions Campbell R. Harvey Duke University, Durham, NC USA National Bureau of Economic.
1 Forex in the Future Campbell R. Harvey Duke University, Durham, NC USA National Bureau of Economic Research, Cambridge MA USA

1 Forex in the Future Campbell R. Harvey Duke University, Durham, NC USA National Bureau of Economic Research, Cambridge MA USA
1 Managing Geopolitical Risk In Investment Decision Making Campbell R. Harvey Duke University and National Bureau of Economic Research Sixth Global Fixed.

1 Managing Geopolitical Risk In Investment Decision Making Campbell R. Harvey Duke University and National Bureau of Economic Research Sixth Global Fixed.
1 Global Asset Allocation: Global Asset Allocation: Fund Age and Hedge Fund Returns Finance 453: Global Asset Allocation and Stock Selection Campbell R.

1 Global Asset Allocation: Global Asset Allocation: Fund Age and Hedge Fund Returns Finance 453: Global Asset Allocation and Stock Selection Campbell R.
1 Yield Curve Inversions and Future Economic Growth Campbell R. Harvey Duke University, Durham, NC USA National Bureau of Economic Research, Cambridge.

1 Yield Curve Inversions and Future Economic Growth Campbell R. Harvey Duke University, Durham, NC USA National Bureau of Economic Research, Cambridge.
FIN 486 Week 1 DQ 1 What are a chief financial officer’s (CFO) two roles? Use real-world examples to explain why these roles are important to a company’s.

FIN 486 Week 1 DQ 1 What are a chief financial officer’s (CFO) two roles? Use real-world examples to explain why these roles are important to a company’s.

Similar presentations

Ads by Google