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The U.S. Risk Premium Campbell R. Harvey

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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

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