The U.S. Risk Premium Campbell R. Harvey, Ph.D., Professor,

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Presentation transcript:

The U.S. Risk Premium Campbell R. Harvey, Ph.D., Professor, Duke University http://www.duke.edu/~charvey

U.S. Risk Premium Survey Background Graham/Harvey: Survey CFOs every quarter Q2 2000 through Q3 2002 (ten 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

U.S. Risk Premium One-Year Premium One-year risk premium quite variable. Currently, about 3%

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

U.S. Risk Premium Asymmetry CFOs believe the downside is much more likely than the upside

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