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The U.S. Risk Premium Campbell R. Harvey

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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 (19 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 One-Year Premium
One-year risk premium quite variable. Currently, about 3.9%

4 U.S. Risk Premium Ten-Year Premium
Ten-year risk premium is stable. Currently, about 3.1%

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

6 U.S. Risk Premium Extreme Returns Cause Disagreement

7 U.S. Risk Premium Positive Relation Between Disagreement and Expected 10-year Returns

8 U.S. Risk Premium Positive Relation Between Average of Individual Variances and Expected 10-year Returns

9 U.S. Risk Premium Example Confidence Intervals: September 16, 2002

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